liu.seSearch for publications in DiVA
Change search
ReferencesLink to record
Permanent link

Direct link
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 (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.
LiTH-ISY-R, ISSN 1400-3902 ; 2264
Keyword [en]
Cointegration analysis, Subspace algorithms, Term structure
National Category
Engineering and Technology Control Engineering
URN: urn:nbn:se:liu:diva-90833ISBN: 0-7803-6638-7OAI: diva2:616252
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

Open Access in DiVA

No full text

Other links

Related report
By organisation
Automatic ControlThe Institute of Technology
Engineering and TechnologyControl Engineering

Search outside of DiVA

GoogleGoogle Scholar
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

Total: 32 hits
ReferencesLink to record
Permanent link

Direct link