Published in

Cambridge University Press (CUP), Econometric Theory, 4(13), p. 529-557, 1997

DOI: 10.1017/s0266466600005995

Links

Tools

Export citation

Search in Google Scholar

Principal Components Analysis of Cointegrated Time Series

Journal article published in 1997 by David Harris
This paper was not found in any repository, but could be made available legally by the author.
This paper was not found in any repository, but could be made available legally by the author.

Full text: Unavailable

Green circle
Preprint: archiving allowed
Green circle
Postprint: archiving allowed
Red circle
Published version: archiving forbidden
Data provided by SHERPA/RoMEO

Abstract

This paper considers the analysis of cointegrated time series using principal components methods. These methods have the advantage of requiring neither the normalization 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 forcointegration and tests of certain linear restrictions on the cointegrating vectors. An illustrative application is provided.

Beta version