Barigozzi, Matteo; Lippi, Marco; Luciani, Matteo - In: Econometrics : open access journal 8 (2020) 1/3, pp. 1-23
empirical macroeconomics, deal with singular stochastic vectors, i.e., vectors of dimension r which are driven by a q … are: (i) we generalize Johansen’s proof of the Granger representation theorem to I(1) singular vectors under the … assumption that yt has rational spectral density; (ii) using recent results on singular vectors by Anderson and Deistler, we …