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- Publisher Website: 10.1016/j.jeconom.2019.04.032
- Scopus: eid_2-s2.0-85066098598
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Article: Extreme Canonical Correlations And High-dimensional Cointegration Analysis
Title | Extreme Canonical Correlations And High-dimensional Cointegration Analysis |
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Authors | |
Keywords | High-dimensional cointegration Extreme canonical correlations Trace statistic Maximum eigenvalue statistic Bartlett correction |
Issue Date | 2019 |
Publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/jeconom |
Citation | Journal of Econometrics, 2019, v. 212 n. 1, p. 307-322 How to Cite? |
Abstract | We prove that the extreme squared sample canonical correlations between a random walk and its own innovations almost surely converge to the upper and lower boundaries of the support of the Wachter distribution when the sample size and the dimensionality go to infinity proportionally. This result is used to derive previously unknown analytic expressions for the Bartlett-type correction coefficients for Johansen’s trace and maximum eigenvalue tests in a high-dimensional VAR(1). An analysis of cointegration among a large number of log exchange rates illustrates the usefulness of our theoretical results. |
Persistent Identifier | http://hdl.handle.net/10722/272343 |
ISSN | 2023 Impact Factor: 9.9 2023 SCImago Journal Rankings: 9.161 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Onatski, A | - |
dc.contributor.author | Wang, C | - |
dc.date.accessioned | 2019-07-20T10:40:29Z | - |
dc.date.available | 2019-07-20T10:40:29Z | - |
dc.date.issued | 2019 | - |
dc.identifier.citation | Journal of Econometrics, 2019, v. 212 n. 1, p. 307-322 | - |
dc.identifier.issn | 0304-4076 | - |
dc.identifier.uri | http://hdl.handle.net/10722/272343 | - |
dc.description.abstract | We prove that the extreme squared sample canonical correlations between a random walk and its own innovations almost surely converge to the upper and lower boundaries of the support of the Wachter distribution when the sample size and the dimensionality go to infinity proportionally. This result is used to derive previously unknown analytic expressions for the Bartlett-type correction coefficients for Johansen’s trace and maximum eigenvalue tests in a high-dimensional VAR(1). An analysis of cointegration among a large number of log exchange rates illustrates the usefulness of our theoretical results. | - |
dc.language | eng | - |
dc.publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/jeconom | - |
dc.relation.ispartof | Journal of Econometrics | - |
dc.subject | High-dimensional cointegration | - |
dc.subject | Extreme canonical correlations | - |
dc.subject | Trace statistic | - |
dc.subject | Maximum eigenvalue statistic | - |
dc.subject | Bartlett correction | - |
dc.title | Extreme Canonical Correlations And High-dimensional Cointegration Analysis | - |
dc.type | Article | - |
dc.identifier.email | Wang, C: stacw@hku.hk | - |
dc.identifier.authority | Wang, C=rp02404 | - |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.1016/j.jeconom.2019.04.032 | - |
dc.identifier.scopus | eid_2-s2.0-85066098598 | - |
dc.identifier.hkuros | 299216 | - |
dc.identifier.volume | 212 | - |
dc.identifier.issue | 1 | - |
dc.identifier.spage | 307 | - |
dc.identifier.epage | 322 | - |
dc.identifier.isi | WOS:000484874800016 | - |
dc.publisher.place | Netherlands | - |
dc.identifier.issnl | 0304-4076 | - |