A Test of Cointegration Rank Based on Principal Component Analysis

Notes on use

Note (General)：: First version issued: 2005-1121世紀COEプログラム = 21st-Century COE Programrevised

Detailed bibliographic record

Summary, etc.：: This paper considers a test of the rank of cointegration. The test is based on the fact that in an m-variate system the m-r th principal component is ...

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Material Type: 文書・図像類
Title: A Test of Cointegration Rank Based on Principal Component Analysis
Author/Editor: 千木良, 弘朗
Author Heading: 千木良, 弘朗チギラ, ヒロアキ
Publication, Distribution, etc.: Institute of Economic Research, Hitotsubashi University
Publication Date: 2006-01
Publication Date (W3CDTF): 2006-01
Contributor: 社会科学における統計分析拠点構築 = Research Unit for Statistical Analysis in Social Sciences
Text Language Code: eng
Subject Heading: Cointegratin test
Unit roots
Target Audience: 一般
Note (General): First version issued: 2005-11
21世紀COEプログラム = 21st-Century COE Program
revised
Format (IMT): application/pdf
Source: fulltext
https://hermes-ir.lib.hit-u.ac.jp/hermes/ir/re/13683/D05-126.pdf
Access Restrictions: インターネット公開
Related Material (URI): URI
http://21coe.ier.hit-u.ac.jp/english/index.html
Periodical Title: Hi-Stat Discussion paper series ; No. d05-126
Data Provider (Database): 国立情報学研究所 : 学術機関リポジトリデータベース（IRDB）（機関リポジトリ）
https://irdb.nii.ac.jp
Original Data Provider (Database): 一橋大学 : HERMES-IR(一橋大学機関リポジトリ) : Research & Education Resources