IDENTIFYING MULTIVARIATE TIME SERIES MODELS

Ruey S. Tsay

Journal of Time Series Analysis, 1989, vol. 10, issue 4, 357-372

Abstract: Abstract. This paper is concerned with how canonical variate analysis can be used to identify the structure of a linear multivariate time series model. The procedure used is based on that of Akaike and Cooper and Wood. A correction and a refinement are made, however. The correction is on the testing statistic and the refinement on the allowed order (p, q). Appropriate asymptotic distributions for testing zero canonical correlations are also given.

Date: 1989
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