Franchi, Massimo - In: Econometric Theory 26 (2010) 04, pp. 1201-1217
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...