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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
Version:
Accepted Manuscript

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Publisher copy:
10.1016/S0167-9473(02)00143-3

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Institution:
University of Oxford
R. J. O'Brien More by this author
Publisher:
Elsevier Science B.V.
Journal:
Computational Statistics and Data Analysis Journal website
Volume:
41
Issue:
1
Publication date:
2002-11-05
DOI:
URN:
uuid:e2439dc0-eb6e-47c8-8439-45c503ef38cc
Local pid:
oai:economics.ouls.ox.ac.uk:14744
Language:
English

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