Numerically stable cointegration analysis

Computational Statistics and Data Analysis

Volumn 41, Issue 1, 2002, Pages 185-193

  Doornik, Jurgen A ^a   O'Brien, R J ^b  

^a NUFFIELD COLLEGE   (United Kingdom)

^b UNIVERSITY OF SOUTHAMPTON   (United Kingdom)

Author keywords

Cointegration; QR decomposition; Reduced rank; Singular value decomposition

Indexed keywords

CALCULATIONS; EIGENVALUES AND EIGENFUNCTIONS; MATRIX ALGEBRA;

COINTEGRATION ANALYSIS;

DATA REDUCTION;

COINTEGRATION ANALYSIS;

EID: 0037191707     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-9473(02)00143-3     Document Type: Article

References (7)

1. Numerical methods for computing angles between linear subspaces
2. Inference in cointegrated models: UK M1 revisited
3. Perturbation analysis of the canonical correlations of matrix pairs
4. Statistical analysis of cointegration vectors