Journal of Business and Economic Statistics · 1995 · 1.3K citations · 22 references
Social SciencesEconomicsEconometricsFinancial EconometricsTime Series AnalysisCointegration AnalysisFactor AnalysisLong-memory ProcessesChi-square Fit TestsCommon Factors Theory
The study of cointegration in large systems requires a reduction of their dimensionality. To achieve this, we propose to obtain the I(1) common factors in every subsystem and then analyze cointegration among them. In this article, a new way of estimating common long-memory components of a cointegrated system is proposed. The identification of these I(1) common factors is achieved by imposing that they be linear combinations of the original variables Xt , and that the error-correction terms do not cause the common factors at low frequencies. Estimation is done from a fully specified error-correction model, which makes it possible to test hypotheses on the common factors using standard chi-squared tests. Several empirical examples illustrate the procedure.
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Statistical analysis of cointegration vectors
Søren Johansen · Journal of Economic Dynamics and Control · 1988 · 16.8K citations
Business, Economics, Econometrics +13
Critical Values for Cointegration Tests
James G. MacKinnon · AgEcon Search (University of Minnesota, USA) · 2010 · 2.6K citations · Full text