Abstract #300193

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JSM 2003 Abstract #300193
Activity Number: 274
Type: Invited
Date/Time: Tuesday, August 5, 2003 : 2:00 PM to 3:50 PM
Sponsor: Business & Economics Statistics Section
Abstract - #300193
Title: Application of Reduced Rank in the Analysis of Nonstationary Time Series
Author(s): Soren Johansen*+
Companies: University of Copenhagen
Address: Department of Statistics and Operations, 2100 Copenhagen, , , Denmark
Keywords: cointegration ; non stationary times series ; reduced rank regression
Abstract:

The reduced rank condition and the reduced rank algorithm by Anderson (1951) has turned out to be a useful tool in the formulation and analysis of models for nonstationary time series of the type I(1). The lecture will show how it solves the basic estimation problem in cointegration analysis and point to some natural generalizations of the model for I(1) variables, where two reduced rank conditions will define some further structure. Examples are models for restrictions on the cointegrating relations, seasonal cointegration, I(2) variables and models for explosive roots.

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Revised March 2003