Cappuccio, Nunzio; Lubian, Diego - In: Oxford Bulletin of Economics and Statistics 58 (1996) 2, pp. 409-15
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....