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    CSDA
    2002
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    Numerically stable cointegration analysis
    13 years 4 months ago
    Numerically stable cointegration analysis
    Download  www.doornik.com
    Cointegration analysis involves the solution of a generalized eigenproblem involving moment matrices and inverted moment matrices. These formulae are unsuitable for actual computa...
    Jurgen A. Doornik, R. J. O'Brien
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