Numerically Stable Cointegration Analysis.
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 c...
| Main Authors: | , |
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| Format: | Journal article |
| Language: | English |
| Published: |
Elsevier
2002
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