Long Run Canonical Correlations: Estimation and Inference

33 Pages Posted: 5 Nov 2009

See all articles by Prosper Dovonon

Prosper Dovonon

Barclays Wealth

Alastair R. Hall

North Carolina State University - Department of Economics; University of Manchester

Kalidas Jana

affiliation not provided to SSRN

Date Written: October 26, 2009

Abstract

This paper proposes methods for both the consistent estimation of so-called long run canonical correlations (LRCCs) and also testing the null hypothesis that a subset of LRCCs are zero. Two test statistics are proposed and their limiting distribution is derived under the null hypothesis. It is shown that the statistics provide a natural way for testing the asymptotic independence of two standardized sums. The tests are illustrated via an application to a cointegration model in which it is shown that inference is only tractable if a certain LRCC is zero.

Keywords: Long Run Canonical Correlations, Canonical Coherences, Asymptotic Independence of Partial Sums, Cointegration

JEL Classification: C12, C13, C22, C32

Suggested Citation

Dovonon, Prosper and Hall, Alastair R. and Jana, Kalidas, Long Run Canonical Correlations: Estimation and Inference (October 26, 2009). Available at SSRN: https://ssrn.com/abstract=1500022 or http://dx.doi.org/10.2139/ssrn.1500022

Prosper Dovonon

Barclays Wealth ( email )

1, Churchill Place
London, E14 5HP
United Kingdom

Alastair R. Hall (Contact Author)

North Carolina State University - Department of Economics ( email )

Raleigh, NC 27695-8110
United States

University of Manchester ( email )

Oxford Road
Manchester, N/A M13 9PL
United Kingdom

Kalidas Jana

affiliation not provided to SSRN

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