TY - JOUR
T1 - A test of cointegration rank based on principal component analysis
AU - Chigira, Hiroaki
PY - 2008/7/1
Y1 - 2008/7/1
N2 - 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.
AB - 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.
UR - http://www.scopus.com/inward/record.url?scp=47649090375&partnerID=8YFLogxK
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U2 - 10.1080/13504850600722096
DO - 10.1080/13504850600722096
M3 - Article
AN - SCOPUS:47649090375
VL - 15
SP - 693
EP - 696
JO - Applied Economics Letters
JF - Applied Economics Letters
SN - 1350-4851
IS - 9
ER -