Inference on the Attractor Space via Functional Approximation
ABSTRACT This paper discusses semiparametric inference on hypotheses on the cointegration and the attractor spaces for I(1) linear processes with moderately large cross‐sectional dimension. The approach is based on sample canonical correlations and functional approximation of Brownian motions, and it can be applied both to the whole system and or to ...
Massimo Franchi, Paolo Paruolo
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