A General Representation Theorem for Integrated Vector Autoregressive Processes
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Final published version, 202 KB, PDF document
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
| Original language | English |
|---|---|
| Place of Publication | Cph. |
| Publisher | Department of Economics, University of Copenhagen |
| Number of pages | 20 |
| Publication status | Published - 2006 |
- Faculty of Social Sciences - unit roots, vector autoregressive processes, Granger representation theorem
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ID: 312778