Multivariate Time Series With Various Hidden Unit Roots, Part I
AbstractFollowing the approach proposed by Gregoir and Laroque (1993, Econometric Theory 9, 329 342), we consider a class of multivariate processes that, when differenced enough, yields covariance stationary processes whose determinant of the matrix series associated with their Wold representation has various unit roots with various orders of multiplicity we restrict to be integers. A representation theorem is provided that involves different polynomial error correction terms at each frequency associated with each unit root. An identification criterion for each set of error correction terms is proposed.
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Bibliographic InfoArticle provided by Cambridge University Press in its journal Econometric Theory.
Volume (Year): 15 (1999)
Issue (Month): 04 (August)
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Other versions of this item:
- Gregoir, St phane, 1999. "Multivariate Time Series With Various Hidden Unit Roots, Part Ii," Econometric Theory, Cambridge University Press, vol. 15(04), pages 469-518, August.
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