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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)In: Proceedings of the 39th IEEE Conference on Decision and Control, 2000, 146-151 p.Conference paper, Published paper (Refereed)
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
2000. 146-151 p.
Series
LiTH-ISY-R, ISSN 1400-3902 ; 2264
Keyword [en]
Cointegration analysis, Subspace algorithms, Term structure
National Category
Engineering and Technology Control Engineering
Identifiers
URN: urn:nbn:se:liu:diva-90833ISBN: 0-7803-6638-7 (print)OAI: oai:DiVA.org:liu-90833DiVA: diva2:616252
Conference
39th IEEE Conference on Decision and Control, Sydney, Australia, 12-15 December 2000
Available from: 2013-04-15 Created: 2013-04-07 Last updated: 2015-03-23

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CiteExportLink to record
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Citation style
  • apa
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  • Other locale
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Output format
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