Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: An\'alisis de cointegraci\'on con una aplicaci\'on al mercado de deuda
  en Estados Unidos, Canad\'a y M\'exico   Certain theoretical aspects of vector autoregression (VAR) as tools to model
economic time series are revised, in particular their capacity to include both
short term and long term information. The VAR model, in its error correction
form, is derived and the permanent-transitory decomposition of factors proposed
by Gonzalo and Granger (1995) studied. An introductory exposition of estimation
theory for reduced rank models, necessary to estimate the error correction
model, is given. Cointegration analysis using the VAR model is carried out for
government bond interest rates (short, medium and long term) of the United
States, Mexico and Canada, with the objective of finding the long-term common
factors that drive the system. The error correction model of this system is
estimated using Johansen's method. Using this estimation the
permanent-transitory decomposition of the system is calculated. Hypothesis
tests are carried out on permanent factors to determine which of the nine rates
studied drive the system.

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The categories of this paper are: quant-ph
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The categories of this paper are: patt-sol
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The categories of this paper are: nucl-ex
8
The categories of this paper are: hep-ex
29
The categories of this paper are: funct-an
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The categories of this paper are: hep-lat
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The categories of this paper are: dg-ga
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The categories of this paper are: bayes-an
0
The categories of this paper are: hep-ph
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The categories of this paper are: econ
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The categories of this paper are: solv-int
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The categories of this paper are: eess
30
The categories of this paper are: q-alg
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The categories of this paper are: nlin
33
The categories of this paper are: plasm-ph
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The categories of this paper are: mtrl-th