Numerically stable cointegration analysis


Jurgen, A. Doornik and O'Brien, R.J. (2002) Numerically stable cointegration analysis. Computational Statistics and Data Analysis, 41, (1), 185-193. (doi:10.1016/S0167-9473(02)00143-3).

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Description/Abstract

Cointegration analysis involves the solution of a generalized eigenproblem involving moment matrices and inverted moment matrices. These formulae are unsuitable for actual computations because the condition numbers of the resulting matrices are unnecessarily increased. The special structure of the cointegration procedure is used to achieve numerically stable computations, based on QR and singular value decompositions.

Item Type: Article
ISSNs: 0167-9473 (print)
Related URLs:
Keywords: cointegration, QR decomposition, reduced rank, singular-value decomposition
Subjects: Q Science > QA Mathematics > QA75 Electronic computers. Computer science
H Social Sciences > HA Statistics
Divisions: University Structure - Pre August 2011 > School of Social Sciences > Economics
ePrint ID: 35204
Date Deposited: 16 May 2006
Last Modified: 27 Mar 2014 18:22
URI: http://eprints.soton.ac.uk/id/eprint/35204

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