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Tests for special causes with multivariate autocorrelated data

โœ Scribed by John M. Charnes


Book ID
103696062
Publisher
Elsevier Science
Year
1995
Tongue
English
Weight
786 KB
Volume
22
Category
Article
ISSN
0305-0548

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This paper proposes a strategy to detect the presence of common serial correlation in large-dimensional systems. We show that partial least squares can be used to consistently recover the common autocorrelation space. Moreover, a Monte Carlo study reveals that univariate autocorrelation tests on the