Testing collinearity of vector time series
向量时间序列共线性检验
Summary We investigate the collinearity of vector time series in the frequency domain, by examining the rank of the spectral density matrix at a given frequency of interest. Rank reduction corresponds to collinearity at the given frequency. When the time series is nonstationary and has been differenced to stationarity, collinearity corresponds to co-integration at a particular frequency. We examine rank through the Schur complements of the spectral density matrix, testing…