Subspace Algorithm Cointegration Analysis - an Application to Interest Rate Data
2000 (English)In: Proceedings of the 39th IEEE Conference on Decision and Control, 2000, 146-151 p.Conference paper (Refereed)
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
Cointegration analysis, Subspace algorithms, Term structure
Engineering and Technology Control Engineering
IdentifiersURN: urn:nbn:se:liu:diva-90833ISBN: 0-7803-6638-7OAI: oai:DiVA.org:liu-90833DiVA: diva2:616252
39th IEEE Conference on Decision and Control, Sydney, Australia, 12-15 December 2000