Reduced rank regression in cointegrated models

Journal of Econometrics

Volumn 106, Issue 2, 2002, Pages 203-216

  Anderson, T W ^a  

^a STANFORD UNIVERSITY   (United States)

Author keywords

Asymptotic distributions; Error correction form; Least squares estimators; Nonstationary autoregressions

Indexed keywords

BROWNIAN MOVEMENT; ERROR CORRECTION; LEAST SQUARES APPROXIMATIONS; MATRIX ALGEBRA; VECTORS;

COINTEGRATED MODELS; REDUCED RANK REGRESSION (RRR);

REGRESSION ANALYSIS;

EID: 0347985232     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(01)00095-1     Document Type: Article

References (9)

1. Anderson, T.W., 1951. Estimating linear restrictions on regression coefficients for multivariate normal distributions. Annals of Mathematical Statistics 22, 327-351. [Correction, Annals of Statistics 8, 1980, p. 1400.].
2. Anderson T.W. Asymptotic distribution of the reduced rank regression estimator under general conditions. Annals of Statistics. 70:1999;1-29.
3. Anderson T.W. The asymptotic distribution of canonical correlations and variates in cointegrated models. Proceedings of the National Academy of Sciences. 97:2000;7068-7073.
4. Anderson T.W. The asymptotic distribution of canonical correlations and variates in higher-order cointegrated models. Proceedings of the National Academy of Sciences. 98:2001;4860-4865.
5. Anderson, T.W., 2001b. A condition for cointegration, unpublished.
6. Anderson T.W., Rubin H. Estimation of the parameters of a single equation in a complete system of stochastic equations. Annals of Mathematical Statistics. 20:1949;46-63.
7. Billingsley P. Convergence of Probability Measures. 1968;Wiley, New York.
8. Hansen H., Johansen S. Some tests for parameter constancy in cointegrated VAR-models. Econometrics Journal. 3:1999;306-333.
9. Johansen S. Likelihood-based Inference in Cointegrated Vector Autoregressive Models. 1995;Oxford University Press, Oxford.