Canonical correlation statistics for testing the cointegration rank in a reversed order

Jörg Breitung ()

No 1998,105, SFB 373 Discussion Papers from Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

Abstract: In this paper a Canonical Correlation Analysis (CCA) is used to test the hypothesis r = r0 against the alternative r

Date: 1998
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