A General Representation Theorem for Integrated Vector Autoregressive Processes

We study the algebraic structure of an I(d) vector autoregressive process, where d is restricted to be an integer. This is useful to characterize its polynomial cointegrating relations and its moving average representation, that is to prove a version of the Granger representation theorem valid for I(d) vector autoregressive processes.

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Year of publication:	2006-08
Authors:	Franchi, Massimo
Institutions:	Økonomisk Institut, Københavns Universitet
Subject:	vector autoregressive processes \| unit roots \| Granger representation theorem \| cointegration

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Extent:	application/pdf
Series:	Discussion Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 06-16 13 pages
Classification:	C32 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005749650