How to determine the number of relations among deterministic trends

被引：1
|
作者：
Hatanaka, M [1 ]
机构：
[1] Hosei Univ, Tokyo, Japan
来源：
JAPANESE ECONOMIC REVIEW | 2000年 / 51卷 / 03期
关键词：
C32; C50;
D O I：
10.1111/1468-5876.00157
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Hatanaka (1998a) showed that the number of relations between deterministic trends of different variables played an important role in empirical studies of macroeconomic theories. In the present paper two methods are presented to determine the number from the time-series data. The one investigates eigenvalues of the data covariance matrix on a parametric model of trends accommodating interrelationships. The other analyses OLS residuals on the basis of a looser concept of interrelated trends. JEL Classification Numbers: C32, C50.
引用
收藏
页码：349 / 374
页数：26
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