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 … to Johansen's LR tests for determining the cointegration rank. …

There are simple well-known conditions for the validity of regression and correlation as statistical tools. We analyse …

, the paper analyzes the returns correlation, serial correlation and heteroscedasticity on the NSE All-share Index, Banking … from the ACF and LB-Q statistics indicate evidence of serial correlation in majority of the sectors’ returns. Furthermore …

variables eliminates the serial correlation after q lags. Importantly, maximum likelihood estimation and likelihood ratio …