A General Representation Theorem for Integrated Vector Autoregressive Processes

Research output: Working paper › Research

Standard

A General Representation Theorem for Integrated Vector Autoregressive Processes. / Franchi, Massimo.

Cph. : Department of Economics, University of Copenhagen, 2006.

Research output: Working paper › Research

Harvard

Franchi, M 2006 'A General Representation Theorem for Integrated Vector Autoregressive Processes' Department of Economics, University of Copenhagen, Cph.

APA

Franchi, M. (2006). A General Representation Theorem for Integrated Vector Autoregressive Processes. Department of Economics, University of Copenhagen.

Vancouver

Franchi M. A General Representation Theorem for Integrated Vector Autoregressive Processes. Cph.: Department of Economics, University of Copenhagen. 2006.

Author

Franchi, Massimo. / A General Representation Theorem for Integrated Vector Autoregressive Processes. Cph. : Department of Economics, University of Copenhagen, 2006.

Bibtex

@techreport{15bfe120a47f11dbbee902004c4f4f50,
title = "A General Representation Theorem for Integrated Vector Autoregressive Processes",
abstract = "We study the algebraic structure of an I(d) vector autoregressive process, where d is restricted to be an integer. This is useful to characterize its polynomial cointegrating relations and its moving average representation, that is to prove a version of the Granger representation theorem valid for I(d) vector autoregressive processes",
keywords = "Faculty of Social Sciences, unit roots, vector autoregressive processes, Granger representation theorem",
author = "Massimo Franchi",
note = "JEL Classification: C32",
year = "2006",
language = "English",
publisher = "Department of Economics, University of Copenhagen",
address = "Denmark",
type = "WorkingPaper",
institution = "Department of Economics, University of Copenhagen",

}

RIS

TY - UNPB

T1 - A General Representation Theorem for Integrated Vector Autoregressive Processes

AU - Franchi, Massimo

N1 - JEL Classification: C32

PY - 2006

Y1 - 2006

N2 - We study the algebraic structure of an I(d) vector autoregressive process, where d is restricted to be an integer. This is useful to characterize its polynomial cointegrating relations and its moving average representation, that is to prove a version of the Granger representation theorem valid for I(d) vector autoregressive processes

AB - We study the algebraic structure of an I(d) vector autoregressive process, where d is restricted to be an integer. This is useful to characterize its polynomial cointegrating relations and its moving average representation, that is to prove a version of the Granger representation theorem valid for I(d) vector autoregressive processes

KW - Faculty of Social Sciences

KW - unit roots

KW - vector autoregressive processes

KW - Granger representation theorem

M3 - Working paper

BT - A General Representation Theorem for Integrated Vector Autoregressive Processes

PB - Department of Economics, University of Copenhagen

CY - Cph.

ER -

ID: 312778