Journal article
Numerically Stable Cointegration Analysis.
- 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.
- Publication status:
- Published
- Peer review status:
- Peer reviewed
Actions
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- Files:
-
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(Preview, Accepted manuscript, pdf, 73.1KB, Terms of use)
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- Publisher copy:
- 10.1016/S0167-9473(02)00143-3
Authors
+ Economic and Social Research Council
More from this funder
- Funding agency for:
- Doornik, J
- Grant:
- R000237500
- Publisher:
- Elsevier
- Journal:
- Computational Statistics and Data Analysis More from this journal
- Volume:
- 41
- Issue:
- 1
- Pages:
- 1851 - 93
- Publication date:
- 2002-11-01
- DOI:
- ISSN:
-
0167-9473
- Language:
-
English
- UUID:
-
uuid:e2439dc0-eb6e-47c8-8439-45c503ef38cc
- Local pid:
-
oai:economics.ouls.ox.ac.uk:14744
- Deposit date:
-
2011-08-16
- ARK identifier:
Terms of use
- Copyright holder:
- Elsevier Science BV
- Copyright date:
- 2002
- Notes:
- © 2002 Elsevier Science B.V. All rights reserved. NOTICE: this is the author’s version of a work that was accepted for publication in Computational Statistics & Data Analysis. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Computational Statistics & Data Analysis, 41, 1, (28 November 2002) DOI#10.1016/S0167-9473(02)00143-3
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