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Persistent link: https://www.econbiz.de/10005610509
We extend the representation theory of the autoregressive model in the fractional lag operator of Johansen (2008, <italic>Econometric Theory</italic> 24, 651–676). A recursive algorithm for the characterization of cofractional relations and the corresponding adjustment coefficients is given, and it is shown...
Persistent link: https://www.econbiz.de/10008520678