Numerically stable cointegration analysis

被引：7
|
作者：
Doornik, JA
O'Brien, RJ
机构：
[1] Univ Oxford, Nuffield Coll, Oxford 0XI 1NF, England
[2] Univ Southampton, Dept Econ, Southampton, Hants, England
来源：
COMPUTATIONAL STATISTICS & DATA ANALYSIS | 2002年 / 41卷 / 01期
关键词：
cointegration; QR decomposition; reduced rank; singular-value decomposition;
D O I：
10.1016/S0167-9473(02)00143-3
中图分类号：
TP39 [计算机的应用];
学科分类号：
081203 ; 0835 ;
摘要：
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. (C) 2002 Elsevier Science B.V. All rights reserved.
引用
收藏
页码：185 / 193
页数：9
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