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Subspace Algorithm Cointegration Analysis - an Application to Interest Rate Data
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology.
University of Berne, Switzerland.
2000 (English)Report (Other academic)
Abstract [en]

In this paper the application of so called subspace methods for the specication and estimation of cointegrated systems is examined. This method, which is based on the state space representation, is suited for the analysis of general cointegrated systems of order one, i.e. is not limited to autoregressive models, as is e.g. Johansen's method. To assess the empirical usefulness of the method we apply it to perform a cointegration analysis of the US term structure of interest rates.

Place, publisher, year, edition, pages
Linköping: Linköping University Electronic Press, 2000. , 5 p.
LiTH-ISY-R, ISSN 1400-3902 ; 2264
Keyword [en]
Cointegration analysis, Subspace algorithms, Term structure
National Category
Control Engineering
URN: urn:nbn:se:liu:diva-55675ISRN: LiTH-ISY-R-2264OAI: diva2:316398
Available from: 2010-04-30 Created: 2010-04-30 Last updated: 2014-07-31Bibliographically approved

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Automatic ControlThe Institute of Technology
Control Engineering

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ReferencesLink to record
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