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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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
Digital Object Identifier (DOI): doi:10.1016/S0167-9473(02)00143-3
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
Accepted Date and Publication Date:
Date Deposited: 16 May 2006
Last Modified: 31 Mar 2016 12:02

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