Numerically stable cointegration analysis
نویسندگان
چکیده
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. Our note discusses how to use the structure of the problem to achieve numerically stable computations, based on QR and singular value decompositions.
منابع مشابه
Modeling Customer Satisfaction: A Panel Cointegration Perspective of The Limited Service Restaurant Sector
Panel cointegration analysis is used to examine the links between customer satisfaction and its antecedents as well as satisfaction and consumer voice and loyalty for four firms in the limited service restaurant sector. The results suggest satisfaction and perceived value continually move to maintain a stable balance between perceived quality, expectations, perceived value, and satisfaction. Lo...
متن کاملMoney Demand Functions: Cointegration and Long{Run Stability
This paper applies conventional tests (Johansen, 1995) and new tests (Chao and Phillips,1999) for cointegration to long{run money demand functions using Canadian data from 1872 to 1997. If cointegration is found, recently proposed tests by Quintos (1997) for stability of the cointegration rank are carried out. The paper focuses on two spans of data: one span starting in 1872, the other in 1957 ...
متن کاملThreshold cointegration: overview and implementation in R
Purpose of this paper is twofold. It is first to offer a rough overview on the field of threshold cointegration, from the seminal paper of Balke and Fomby (1997) to the recent developments. Simultaneously, it is to describe the implementation of the main functionalities for the modeling in the open-source package tsDyn. It provides hence a unique way to get an introduction on the threshold coin...
متن کاملThe Polish Exchange Rate System : A Cointegration Analysis
In October 1991 Poland has established a preannounced crawling peg regime in which the zloty is tied to a currency basket and devalued with a preannounced monthly rate (rate of crawl). If the monetary authorities have been successful in defending the crawling peg stable long-run relationships between the Polish zloty on the one hand and the basket’s value and the currencies comprising the baske...
متن کاملHermite Series Estimation in Nonlinear Cointegrating Models
This paper discusses nonparametric series estimation of integrable cointegration models using Hermite functions. We establish the uniform consistency and asymptotic normality of the series estimator. The Monte Carlo simulation results show that the performance of the estimator is numerically satisfactory. We then apply the estimator to estimate the stock return predictive function. The out–of–s...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
- Computational Statistics & Data Analysis
دوره 41 شماره
صفحات -
تاریخ انتشار 2002