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Activity Number: 146
Type: Contributed
Date/Time: Monday, July 30, 2007 : 10:30 AM to 12:20 PM
Sponsor: Business and Economics Statistics Section
Abstract - #309877
Title: Test of Cointegration Using Long Run Canonical Correlations: Part I
Author(s): Kalidas Jana*+ and Alastair R. Hall
Companies: University of Texas at Brownsville and University of Manchester
Address: Dept of Bus Admin, Brownsville, TX, 78520,
Keywords: Long Run Canonical Correlations ; Cointegration ; Squared Coherence at Frequency Zero ; Squared Multiple Coherence at Frequency Zero ; Squared Canonical Coherences at Frequency Zero
Abstract:

Recently, Long Run Canonical Correlations (LRCCs) have been shown to be useful in providing a suitable metric for information contained in the population moment conditions in Generalized Method of Moments (GMM) estimation. LRCCs have also been shown to be useful in structural stability testing, and exogeneity testing of regressors when the regressors are non-stationary. This paper explores further usefulness of LRCCs. In particular, it investigates the implications of LRCCs for cointegration. In addition, exploiting these implications, it develops new tests of cointegration in the frequency domain analysis of time series. Depending on the situation at hand, the tests involve squared coherence at frequency zero, squared multiple coherence at frequency zero, or squared canonical coherences at frequency zero.

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Revised September, 2007