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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
    DOI: 10.1007/s11135-007-9120-4
    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. 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, April.
    2. 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.
    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 1057-1072, June.
    4. 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.
    5. 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.
    6. 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.
    7. 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.
    8. 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.
    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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