منابع مشابه
On Determination of Cointegration Ranks∗
We propose a new method to determine the cointegration rank in the error correction model of Engle and Granger (1987). To this end, we first estimate the cointegration vectors in terms of a residual-based principal component analysis. Then the cointegration rank, together with the lag order, is determined by a penalized goodness-of-fit measure. We have shown that the estimated cointegration vec...
متن کاملOn the Ranks and Border Ranks of Symmetric Tensors
Motivated by questions arising in signal processing, computational complexity, and other areas, we study the ranks and border ranks of symmetric tensors using geometric methods. We provide improved lower bounds for the rank of a symmetric tensor (i.e., a homogeneous polynomial) obtained by considering the singularities of the hypersurface defined by the polynomial. We obtain normal forms for po...
متن کاملCointegration: More on Testing Methods
An alternative to the Engle-Granger tests is the Cointegration Regression Durbin-Watson (CRDW) test of Sargan and Bhargava (1983). The test involves a simple regression of one variable on the other, and the standard Durbin-Watson test on the residuals. Recall the null for the DW test is that the residuals form a nonstationary random walk, whereas the alternative hypothesis is that the residuals...
متن کاملCointegration, Fractional Cointegration, and Exchange Rate Dynamics
Multivariate tests due to Johansen (1988, 1991) as implemented by Baillie and Bollerslev (1989a) and Diebold, Gardeazabal, and Yilmaz (1994) reveal mixed evidence on whether a group of exchange rates are cointegrated. Further analysis of the deviations from the cointegrating relationship suggests that it possesses long memory and may possibly be well described as a fractionally integrated proce...
متن کاملAn Improvement on Ranks of Explicit Tensors
We give constructions of n × n × n tensors of rank at least 2n − O(n). As a corollary we obtain an [n] shaped tensor with rank at least 2n − O(n) when r is odd. The tensors are constructed from a simple recursive pattern, and the lower bounds are proven using a partitioning theorem developed by Brockett and Dobkin. These two bounds are improvements over the previous best-known explicit tensors ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Statistics and Its Interface
سال: 2009
ISSN: 1938-7989,1938-7997
DOI: 10.4310/sii.2009.v2.n1.a5