A test of cointegration rank based on principal component analysis

Hiroaki Chigira

Applied Economics Letters, 2008, vol. 15, issue 9, 693-696

Abstract: Using principal component methods, we construct a cointegration rank test that is less restrictive than Johansen's tests, easy to calculate, and independent of the dimension of the process. Monte Carlo simulations indicate that the proposed test outperforms Johansen's tests.

Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:15:y:2008:i:9:p:693-696

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DOI: 10.1080/13504850600722096

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