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Activity Number: 364
Type: Contributed
Date/Time: Wednesday, August 6, 2008 : 8:30 AM to 10:20 AM
Sponsor: Business and Economics Statistics Section
Abstract - #300659
Title: Test of Cointegration Using Long Run Canonical Correlations: Part II
Author(s): Kalidas Jana*+
Companies: The University of Texas at Brownsville
Address: Department of Business Administration, Brownsville, TX, 78520,
Keywords: Long Run Canonical Correlations ; Cointegration ; Squared Simple Coherence at Frequency Zero ; Squared Multiple Coherence at Frequency Zero ; Squared Canonical Coherences at Frequency Zero
Abstract:

Jana (2007) in Part I investigated implications of cointegration for long run canonical correlations and equivalently, for canonical coherences at frequency zero. In addition, employing existing tests of zero squared simple, multiple, and canonical coherences at frequency zero, this part proposed new tests of null hypothesis of no cointegration. The purpose of Part II is to conduct simulation studies to judge the performance of our proposed tests by investigating their size and power properties using frequency domain approach.

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Revised September, 2008