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dc.contributor.authorOnatskiy, Alexeien
dc.contributor.authorWang, Chenen
dc.date.accessioned2019-05-01T12:58:02Z
dc.date.available2019-05-01T12:58:02Z
dc.identifier.issn0304-4076
dc.identifier.urihttps://www.repository.cam.ac.uk/handle/1810/292159
dc.description.abstractWe prove that the extreme squared sample canonical correlations between a random walk and its own innovations almost surely converge to the upper and lower boundaries of the support of the Wachter distribution when the sample size and the dimensionality go to innity proportionally. This result is used to derive previously unknown analytic expressions for the Bartlett-type correction coefficients for Johansens trace and maximum eigenvalue tests in a high-dimensional VAR(1). An analysis of cointegration among a large number of log exchange rates illustrates the usefulness of our theoretical results.
dc.publisherElsevier BV
dc.titleExtreme canonical correlations and high-dimensional cointegration analysisen
dc.typeArticle
prism.publicationNameJournal of Econometricsen
dc.identifier.doi10.17863/CAM.39311
dcterms.dateAccepted2019-01-21en
rioxxterms.versionofrecord10.1016/j.jeconom.2019.04.032en
rioxxterms.versionAM*
rioxxterms.licenseref.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/en
rioxxterms.licenseref.startdate2019-01-21en
dc.contributor.orcidOnatskiy, Alexei [0000-0002-8299-1113]
dc.identifier.eissn1872-6895
rioxxterms.typeJournal Article/Reviewen
cam.issuedOnline2019-04-20en
dc.identifier.urlhttps://www.sciencedirect.com/science/article/pii/S0304407619300879#!en
cam.orpheus.successThu Jan 30 10:45:56 GMT 2020 - Embargo updated*
rioxxterms.freetoread.startdate2021-04-20


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