On Canonical Analysis of Vector Time Series

Wanli Min and Ruey S. Tsay ()
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Wanli Min: University of Chicago, Graduate School of Business
Ruey S. Tsay: University of Chicago, Graduate School of Business

A chapter in COMPSTAT 2004 — Proceedings in Computational Statistics, 2004, pp 339-350 from Springer

Abstract: Abstract In this paper, we establish some asymptotic results for canonical analysis of vector linear time series when the data possess conditional heteroscedasticity. We show that for correct identification of a vector time series model, it is essential to use a modification, which we prescribe, to a commonly used test statistic for testing zero canonical correlations. A real example and simulation are used to demonstrate the importance of the proposed test statistics.

Keywords: Hankel matrix; Kronecker index; canonical correlation (search for similar items in EconPapers)
Date: 2004
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-7908-2656-2_27

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DOI: 10.1007/978-3-7908-2656-2_27

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