Principal Components Analysis of Cointegrated Time Series

David Harris

No 2/96, Monash Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics

Abstract: This paper considers the analysis of cointegrated time series using principal components methods. These methods have the advantage of neither requiring the normalisation imposed by the triangular eror correction model, nor the specification of a finite order vector autoregression.

Keywords: COINTEGRATION; TIME SERIES; EVALUATION (search for similar items in EconPapers)
JEL-codes: C22 C33 (search for similar items in EconPapers)
Pages: 43 pages
Date: 1996
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Citations: View citations in EconPapers (1)

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Journal Article: Principal Components Analysis of Cointegrated Time Series (1997)
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