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A Parametric Characterization Of Integrated Vector Autoregressive (Var) Processes

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  • la Cour, Lisbeth

Abstract

This paper provides a polynomial factorization theorem that is then used to extend the characterization parts of the parametric representation theorems of Johansen (1992, Econometric Theory 8, 188–202) for vector autoregressive processes integrated of up to order 2. A characterization theorem is provided in the general case of an I(d) process. For the discussion of the complicated polynomial cointegration properties of such processes, the case of an I(3) process is considered as an example.

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  • la Cour, Lisbeth, 1998. "A Parametric Characterization Of Integrated Vector Autoregressive (Var) Processes," Econometric Theory, Cambridge University Press, vol. 14(2), pages 187-199, April.
    • Handle: RePEc:cup:etheor:v:14:y:1998:i:02:p:187-199_14
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    Cited by:

    1. Franchi, Massimo, 2007. "The Integration Order Of Vector Autoregressive Processes," Econometric Theory, Cambridge University Press, vol. 23(3), pages 546-553, June.
    2. Beare, Brendan K. & Seo, Won-Ki, 2020. "Representation Of I(1) And I(2) Autoregressive Hilbertian Processes," Econometric Theory, Cambridge University Press, vol. 36(5), pages 773-802, October.
    3. B. Nielsen, 2009. "Test for cointegration rank in general vector autoregressions," Economics Papers 2009-W10, Economics Group, Nuffield College, University of Oxford.
    4. Massimo Franchi, 2006. "A General Representation Theorem for Integrated Vector Autoregressive Processes," Discussion Papers 06-16, University of Copenhagen. Department of Economics.
    5. Massimo Franchi, 2017. "On the structure of state space systems with unit roots," DSS Empirical Economics and Econometrics Working Papers Series 2017/4, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
    6. Massimo Franchi & Paolo Paruolo, 2019. "A general inversion theorem for cointegration," Econometric Reviews, Taylor & Francis Journals, vol. 38(10), pages 1176-1201, November.

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