Cointegration analysis for time series involves the solution of a generalized eigenproblem involving moment matrices and inverted moment matrices. These formulae are unsuitable for actual computations because the cond...Cointegration analysis for time series 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 cointegration procedure is used to achieve numerically stable computations, based on QR and singular value decompositions.展开更多
文摘Cointegration analysis for time series 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 cointegration procedure is used to achieve numerically stable computations, based on QR and singular value decompositions.
