Numerically stable cointegration analysis (Q1874130): Difference between revisions
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scientific article
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English | Numerically stable cointegration analysis |
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Numerically stable cointegration analysis (English)
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22 May 2003
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The authors discuss the cointegration in non-stationary time series and their statistical analysis using vector autoregression. Restricting on a reduced rank situation the analysis can be performed using maximum likelihood methods that require the solution of a generalized eigenproblem. The paper shows that the standard methods used so far to solve this eigenproblem are numerically undesirable. Numerically more stable algorithms are proposed using two alternative QR decompositions. Moreover the singular case is treated. Finally some remarks about operation counts and an illustrative example are given.
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cointegration
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QR decomposition
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generalized eigenproblem
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reduced rank
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singular-value decomposition
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numerical examples
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numerical stability
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nonstationary time series
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vector autoregression
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maximum likelihood methods
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algorithms
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