A Representation of Vector Autoregressive Processes Integrated of Order 2

We investigate vector autoregressive processes and find the condition under which the processes are <italic>I</italic>(2). A representation theorem forsuch processes is proved and the interpretation of the AR model as an error correction model is discussed.

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Year of publication:	1992
Authors:	Johansen, Søren
Published in:	Econometric Theory. - Cambridge University Press. - Vol. 8.1992, 02, p. 188-202
Publisher:	Cambridge University Press
Description of contents:	Abstract [journals.cambridge.org]

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008739958