Numerically stable cointegration analysis
type: Item
instance of: scholarly article
title: Numerically stable cointegration analysis
zbMATH Open document ID: 1030.65005
DOI: 10.1016/S0167-9473(02)00143-3
author: Jurgen A. Doornik
author: R. J. O'Brien
published in: Computational Statistics and Data Analysis
publication date: 2003-05-22T00:00:00Z
review text: 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.
reviewed by: Hans-Peter Altenburg
Mathematics Subject Classification ID: 65C60
Mathematics Subject Classification ID: 65F15
Mathematics Subject Classification ID: 62M10
zbMATH DE Number: 1915209
zbMATH Keywords: cointegration
zbMATH Keywords: QR decomposition
zbMATH Keywords: generalized eigenproblem
zbMATH Keywords: reduced rank
zbMATH Keywords: singular-value decomposition
zbMATH Keywords: numerical examples
zbMATH Keywords: numerical stability
zbMATH Keywords: nonstationary time series
zbMATH Keywords: vector autoregression
zbMATH Keywords: maximum likelihood methods
zbMATH Keywords: algorithms
describes a project that uses: Ox
MaRDI profile type: Publication
cites work: Numerical Methods for Computing Angles Between Linear Subspaces
cites work: Q5689624
cites work: Perturbation analysis of the canonical correlations of matrix pairs
cites work: Statistical analysis of cointegration vectors
cites work: Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
full work available at URL: s0167-9473(02)00143-3
OpenAlex ID: W2139200609
description: scientific article; zbMATH DE number 1915209