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...
| Hoofdauteurs: | , |
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| Formaat: | Journal article |
| Taal: | English |
| Gepubliceerd in: |
Elsevier
2002
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