Triangular Representation and Error Correction Mechanism in Cointegrated Systems.

In this paper, the authors provide a proof of the Granger representation theorem starting from P. C. B. Phillips' triangular representation of a cointegrated system. Proofs of the theorem have already been provided but starting either from the MA representation or from the AR representation. Conversely, the authors derive and characterize analytically the MA and the AR representations in terms of the parameters of the triangular system. Copyright 1996 by Blackwell Publishing Ltd