Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/61296 
Authors: 
Year of Publication: 
1998
Series/Report no.: 
SFB 373 Discussion Paper No. 1998,105
Publisher: 
Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, Berlin
Abstract: 
In this paper a Canonical Correlation Analysis (CCA) is used to test the hypothesis r = r0 against the alternative r < r0. Such a test flips the null and alternative hypotheses of Johansen's LR test and can be used jointly with the LR test to construct a confidence set for the cointegration rank. As the latter test, our tests are based on the eigenvalues of a CCA between differences and lagged levels of a time series vector. The resulting test statistics can easily be adjusted for nuisance parameters using a nonparametric correction in the spirit of Phillips (1987, 1995). Monte Carlo simulations suggest that variants of the CCA statistic may have better properties than alternative tests and can be used as an alternative to Johansen's LR tests for determining the cointegration rank.
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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