Extreme canonical correlations and high-dimensional cointegration analysis
Year of publication: |
2019
|
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Authors: | Onatski, Alexei ; Wang, Chen |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 212.2019, 1, p. 307-322
|
Subject: | Bartlett correction | Extreme canonical correlations | High-dimensional cointegration | Maximum eigenvalue statistic | Trace statistic | Kointegration | Cointegration | Korrelation | Correlation | Schätztheorie | Estimation theory | Statistische Methode | Statistical method |
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