Numerically stable cointegration analysis

Jurgen, A. Doornik and O'Brien, R.J. (2002) Numerically stable cointegration analysis Computational Statistics and Data Analysis, 41, (1), pp. 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)
Keywords: cointegration, QR decomposition, reduced rank, singular-value decomposition
ePrint ID: 35204
Date :
Date Event
Date Deposited: 16 May 2006
Last Modified: 16 Apr 2017 22:10
Further Information:Google Scholar

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