In this paper a Canonical Correlation Analysis (CCA) is used to test the hypothesis r = r0 against the alternative r … to construct a confidence set for the cointegration rank. As the latter test, our tests are based on the eigenvalues of a … CCA between differences and lagged levels of a time series vector. The resulting test statistics can easily be adjusted …

models ; semiparametric estimation ; modified R/S ; KPSS and V/S statistics ; periodogram …

The testing of a computing model for a stationary time series is a standard task in statistics. When a parametric …

generating process will change considerably. Cointegration tests become invalid in a single equation framework but system …It has long been recognized that aggregating time series introduces correlation between consecutive values of the … (cointegration). It will be shown that aggregation does not distort the cointegration relation while some other features of the data …

following the classical approach based on I(0) stationarity or I(1) cointegrating relationships, we use fractional integration/cointegration … three variables are I(1). But we only find cointegration in the presence of autocorrelated disturbances, which means that … opposed to classical cointegration, which implies long memory and slow reversion to equilibrium. This suggests that an …

the cointegration rank in the spirit of Johansen (1988). …