Jordan Matrices on the Equivalence of the I(1) Conditions for VAR Systems.

The Jordan Form of the VAR's Companion matrix is used for proving the equivalence between the statement that there are no jordan blocks of order two or higher in the Jordan matrix and the conditions of Granger's Representation Theorem for an I(1) series. Furthermore, a Diagonal polynomial matrix containing the unit roots assocxiated to the VAR system is derived and related to Granger's Reprensentation Theorem.

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Year of publication:	1999
Authors:	Archontakis, F.
Institutions:	Department of Economics, European University Institute
Subject:	ECONOMETRICS \| MATHEMATICAL ANALYSIS \| STATISTICAL ANALYSIS

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Series:	Economics Working Papers.
Type of publication:	Book / Working Paper
Notes:	27 pages
Classification:	C00 - Mathematical and Quantitative Methods. General ; C60 - Mathematical Methods and Programming. General ; C40 - Econometric and Statistical Methods: Special Topics. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005744280