Identifying cointegration by eigenanalysis
Open accessAbstract
We propose a new and easy-to-use method for identifying cointegrated components of nonstationary time series, consisting of an eigenanalysis for a certain nonnegative definite matrix. Our setting is model-free, and we allow the integer-valued integration orders of the observable series to be unknown, and to possibly differ. Consistency of estimates of the cointegration space and cointegration rank is established both when the dimension of the observable time series is fixed as sample size increases, and when it diverges slowly. The proposed methodology is also extended and justified in a fractional setting. A Monte Carlo study of finite-sample performance, and a small empirical illustration, are reported. Supplementary materials for this article are available online.
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The test proposed by Zhang et al. (2019) finds evidence of cointegration of order two in all series.
“while the test proposed by Zhang et al. (2019) finds evidence of cointegration of order two in all of them.”
From Sanctions and Russian online prices (2024) · cites this paper as Zhang et al. (2019)
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Sanctions and Russian online prices
Benchimol, J., & Palumbo, L. (2024) · Journal of Economic Behavior & Organization · doi:10.1016/j.jebo.2024.07.013 · Cited by 37 · see citing works
- Authors
- Zhang, R., Robinson, P., & Yao, Q.
- Affiliations
- Zhejiang University (CN)
- London School of Economics and Political Science (GB)
- Peking University (CN)
- Venue
- Journal of the American Statistical Association
- Publisher
- Informa UK Limited
- Published
- 2018-07-11
- Volume
- 114
- Issue
- 526
- Pages
- 916-927
- ISSN
- 0162-1459 (ISSN-L)
- 1537-274X
- OpenAlex
- W2963812463
- Semantic Scholar
- c4005672bec00abae3f95bd5e507185266cd7095
- Cited by
- 51
- References
- 35
- Citations by year
- 2025: 4 · 2024: 6 · 2023: 9 · 2022: 8 · 2021: 8 · 2020: 8 · 2019: 3 · 2018: 5
- FWCI
- 8.25
- Type
- journal article
- Language
- en
- Open access
- green
- orcid.org
- Locations
- Journal of the American Statistical Association (publishedVersion)
- London School of Economics and Political Science Research Online (London School of Economics and Political Science) (submittedVersion)
- London School of Economics and Political Science Theses Online (London School of Economics and Political Science) (submittedVersion)
- RePEc: Research Papers in Economics (submittedVersion)
- Funders
- Economic and Social Research Council (ES/J007242/1)
- Engineering and Physical Sciences Research Council (EP/L01226X)
- National Natural Science Foundation of China (11371318)
- Topics
- Social Sciences › Economics, Econometrics and Finance › Finance › Financial Risk and Volatility Modeling
- Social Sciences › Economics, Econometrics and Finance › Economics and Econometrics › Complex Systems and Time Series Analysis
- Social Sciences › Economics, Econometrics and Finance › General Economics, Econometrics and Finance › Monetary Policy and Economic Impact
- Keywords
- cointegration, eigenvalue analysis, non-stationary time series, cointegration rank, model-free estimation, fractional cointegration, consistency, high-dimensional time series
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