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Triangular Representation and Error Correction Mechanism in Cointegrated Systems

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Author Info
Cappuccio, Nunzio
Lubian, Diego

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Abstract

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. Conversely, the authors derive and characterize analytically the MA and the AR representations in terms of the parameters of the triangular system. Copyright 1996 by Blackwell Publishing Ltd

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Publisher Info
Article provided by Department of Economics, University of Oxford in its journal Oxford Bulletin of Economics & Statistics.

Volume (Year): 58 (1996)
Issue (Month): 2 (May)
Pages: 409-15
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Handle: RePEc:bla:obuest:v:58:y:1996:i:2:p:409-15

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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0305-9049

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  1. Gengenbach, Christian & Urbain, Jean-Pierre & Westerlund, Joakim, 2008. "Panel Error Correction Testing with Global Stochastic Trends," Research Memoranda 051, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
  2. Nunzio Cappuccio & Diego Lubian, 2001. "Estimation And Inference On Long-Run Equilibria: A Simulation Study," Econometric Reviews, Taylor and Francis Journals, vol. 20(1), pages 61-84. [Downloadable!] (restricted)
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