How to Determine the Number of Relations Among Deterministic Trends
Posted: 27 Jul 2001
Abstract
Hatanaka (1998a) showedthat the number of relations between deterministic trends of different variables played an important role in empirical studies of macroeconomic theories. In the present paper two methods are presented to determine the number from the time-series data. The one investigates eigenvalues of the data covariance matrix on a parametric model of trends accommodating interrelationships. The other analyses OLS residuals on the basis of a looser concept of interrelated trends.
JEL Classification: C32, C50
Suggested Citation: Suggested Citation
Hatanaka, Michio, How to Determine the Number of Relations Among Deterministic Trends. Available at SSRN: https://ssrn.com/abstract=238961
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