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36

CSDA
2002

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Numerically stable cointegration analysis

13 years 10 months ago

Numerically stable cointegration analysis

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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. Our note discusses how to use the structure of the problem to achieve numerically stable computations, based on QR and singular value decompositions.

Jurgen A. Doornik, R. J. O'Brien

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Cointegration Analysis | CSDA 2002 | Generalized Eigenproblem | Moment Matrices |

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Added	18 Dec 2010
Updated	18 Dec 2010
Type	Journal
Year	2002
Where	CSDA
Authors	Jurgen A. Doornik, R. J. O'Brien

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