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Singular value decomposition in cointegration analysis: a note regarding the difference stationary series

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File URL: http://hdl.handle.net/10.1007/s11135-007-9120-4
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Article provided by Springer in its journal Quality & Quantity.

Volume (Year): 42 (2008)
Issue (Month): 5 (October)
Pages: 699-710

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Handle: RePEc:spr:qualqt:v:42:y:2008:i:5:p:699-710
Contact details of provider: Web page: http://www.springer.com

Order Information: Web: http://www.springer.com/economics/journal/11135

Keywords: Cointegration; Cointegrating vector; Integration; Singular value decomposition; Near integrated series;

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  1. Basu, Dipak R & Lazaridis, Alexis, 1983. "Stochastic Optimal Control by Pseudo-Inverse," The Review of Economics and Statistics, MIT Press, vol. 65(2), pages 347-50, May.
  2. Perron, Pierre & Vogelsang, Timothy J, 1992. "Testing for a Unit Root in a Time Series with a Changing Mean: Corrections and Extensions," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(4), pages 467-70, October.
  3. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June.
  4. Vogelsang, T.I. & Perron, P., 1991. "Nonstationary and Level Shifts With An Application To Purchasing Power Parity," Papers 359, Princeton, Department of Economics - Econometric Research Program.
  5. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
  6. Banerjee, Anindya & Dolado, Juan J. & Galbraith, John W. & Hendry, David, 1993. "Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data," OUP Catalogue, Oxford University Press, number 9780198288107, December.
  7. David A. Dickey & Dennis W. Jansen & Daniel L. Thornton, 1991. "A primer on cointegration with an application to money and income," Review, Federal Reserve Bank of St. Louis, issue Mar, pages 58-78.
  8. Alexis Lazaridis, 2007. "A Note Regarding the Condition Number: The Case of Spurious and Latent Multicollinearity," Quality & Quantity- International Journal of Methodology, Springer, vol. 41(1), pages 123-135, 02.
  9. Alexis Lazaridis, 1986. "A note regarding the problem of perfect multicollinearity," Quality & Quantity- International Journal of Methodology, Springer, vol. 20(2), pages 297-306, June.
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Cited by:

  1. Athanasenas, Athanasios L., 2010. "Credit, income, and causality: A contemporary co-integration analysis," European Journal of Operational Research, Elsevier, vol. 201(1), pages 194-205, February.

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