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Principal Components Analysis of Cointegrated Time Series

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journal contribution
posted on 05.06.2017, 03:12 by Harris, David
This paper considers the analysis of cointegrated time series using principal components methods. These methods have the advantage of neither requiring the normalisation imposed by the triangular error correction model, nor the specification of a finite order vector autoregression. An asymptotically efficient estimator of the cointegrating vectors is given, along with tests for cointegration and tests of certain linear restrictions on the cointegrating vectors. An illustrative application is provided.

History

Year of first publication

1996

Series

Department of Econometrics.

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