TESTS FOR SEASONAL COINTEGRATION USING PRINCIPAL COMPONENTS
โ Scribed by Roselyne Joyeux
- Book ID
- 111039663
- Publisher
- John Wiley and Sons
- Year
- 1992
- Tongue
- English
- Weight
- 390 KB
- Volume
- 13
- Category
- Article
- ISSN
- 0143-9782
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
A particular class of tests for the principal components of a scatter matrix \(\Sigma\) is proposed. In the simplest case one wants to test whether a given vector is an eigenvector of \(\Sigma\) corresponding to its largest eigenvalue. The test statistics are likelihood ratio statistics for the clas
## Abstract This paper considers tests of seasonal integration and cointegration for multivariate unobserved component models. First, the locally best invariant (LBI) test of the null hypothesis of a deterministic seasonal pattern against the alternative of seasonal integration is derived for a mod