Numerically stable cointegration analysis

DOI10.1016/S0167-9473(02)00143-3MaRDI QIDQ1874130zbMATH OpenOpenAlexFDO

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

Publication date 22 May 2003

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0167-9473(02)00143-3

zbMATH Keywords

algorithmsnumerical examplescointegrationvector autoregressionnumerical stabilityQR decompositionreduced rankgeneralized eigenproblemnonstationary time seriessingular-value decompositionmaximum likelihood methods

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical computation of eigenvalues and eigenvectors of matrices (65F15)

Recommendations

• Numerical analysis to stable cointegration for time series
• Statistical analysis of cointegration vectors
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• Cointegration: Overview and Development
• Numerical aspects of a likelihood ratio test statistic for cointegrating rank

Cites work

• scientific article; zbMATH DE number 961607 (Why is no real title available?)
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Numerical Methods for Computing Angles Between Linear Subspaces
• Perturbation analysis of the canonical correlations of matrix pairs
• Statistical analysis of cointegration vectors

Cited in

(9)

• 2nd special issue on matrix computations and statistics
• A method of simulating multivariate nonnormal distributions by the Pearson distribution system and estimation
• Small sample adjustment for hypotheses testing on cointegrating vectors
• Identifying cointegration by eigenanalysis
• Accelerated estimation of switching algorithms: the cointegrated VAR model and other applications
• Likelihood-based inference for weak exogeneity in I(2) cointegrated VAR models
• Likelihood-based tests for parameter constancy in I(2) CVAR models with an application to fixed-term deposit data
• A novel method of estimation under co-integration
• Numerical analysis to stable cointegration for time series

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Uses Software

• Ox

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