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Numerically stable cointegration analysis

Jurgen, A. Doornik and O'Brien, R.J. (2002) Numerically stable cointegration analysis Computational Statistics & Data Analysis, 41, (1), pp. 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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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
ISSN: 0167-9473
PURE UUID: ea94e7c5-1650-494e-a1b6-3ada78e7a168

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Date deposited: 16 May 2006
Last modified: 17 Jul 2017 15:48

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Contributors

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

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