Singular value decomposition in cointegration analysis: a note regarding the difference stationary series
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- 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 1057-1072, June.
- 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.
- 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, February.
- Basu, Dipak R & Lazaridis, Alexis, 1983. "Stochastic Optimal Control by Pseudo-Inverse," The Review of Economics and Statistics, MIT Press, vol. 65(2), pages 347-350, May.
- 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 467-470, October.
- Perron, Pierre & Vogelsang, Timothy J, 1992.
"Nonstationarity and Level Shifts with an Application to Purchasing Power Parity,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 10(3), pages 301-320, July.
- 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.
- 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.
- 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.
- 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.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- 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.
More about this item
KeywordsCointegration; Cointegrating vector; Integration; Singular value decomposition; Near integrated series;
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:qualqt:v:42:y:2008:i:5:p:699-710. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sonal Shukla) or (Rebekah McClure). General contact details of provider: http://www.springer.com .