Canonical Correlation in Multivariate Time Series Analysis with an Application to One-Year-Ahead and Multiyear-Ahead Macroeconomic Forecasting

Abstract

Pieter W. Otter, Canonical Correlation in Multivariate Time Series Analysis with an Application to One-Year-Ahead and Multiyear-Ahead Macroeconomic Forecasting, Journal of Business & Economic Statistics, Vol. 8, No. 4 (Oct., 1990), pp. 453-457