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Numerically stable cointegration analysis

Numerically stable cointegration analysis
Numerically stable cointegration analysis
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.
cointegration, QR decomposition, reduced rank, singular-value decomposition
0167-9473
185-193
Jurgen, A. Doornik
e235b991-f880-4d5b-8319-efc954b2993c
O'Brien, R.J.
6d46f2be-6f1d-4bcd-9b94-baedee23ff22
Jurgen, A. Doornik
e235b991-f880-4d5b-8319-efc954b2993c
O'Brien, R.J.
6d46f2be-6f1d-4bcd-9b94-baedee23ff22

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).

Record type: Article

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.

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More information

Published date: 2002
Keywords: cointegration, QR decomposition, reduced rank, singular-value decomposition
Organisations: Economics

Identifiers

Local EPrints ID: 35204
URI: http://eprints.soton.ac.uk/id/eprint/35204
DOI: doi:10.1016/S0167-9473(02)00143-3
ISSN: 0167-9473
PURE UUID: ea94e7c5-1650-494e-a1b6-3ada78e7a168

Catalogue record

Date deposited: 16 May 2006
Last modified: 15 Mar 2024 07:50

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Contributors

Author: A. Doornik Jurgen
Author: R.J. O'Brien

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