Strongly Consistent Determination of Cointegrating Rank Via Canonical Correlations
提出一种基于典型相关分析的方法，用于强一致估计非平稳协整时间序列的协整秩，并通过模拟研究验证其实用性。
Abstract This article is concerned with the statistical analysis of nonstationary, cointegrated time series. The estimation of the cointegrating structure of such time series is considered, and the problem of identifying the cointegrating rank is addressed. A methodology is presented that leads to strongly consistent estimates of this quantity. The identification is based on a canonical correlation analysis of the original variables and presents an alternative approach to those currently in vogue. The procedures are easily implemented and the practical relevance of the results obtained, which are founded on asymptotic theory, is demonstrated by means of a small simulation study. KEY WORDS: Canonical correlationsCointegrated time seriesCointegration rankNonstationaryStrong consistency