An alternative proof of Granger’s Representation Theorem forI(1) systems through Jordan matrices
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Bibliographic InfoArticle provided by Springer in its journal Journal of the Italian Statistical Society.
Volume (Year): 7 (1998)
Issue (Month): 2 (August)
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Web page: http://link.springer.de/link/service/journals/10260/index.htm
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- Johansen, Søren, 1992. "A Representation of Vector Autoregressive Processes Integrated of Order 2," Econometric Theory, Cambridge University Press, vol. 8(02), pages 188-202, June.
- Hylleberg, Svend & Mizon, Grayham E, 1989. "Cointegration and Error Correction Mechanisms," Economic Journal, Royal Economic Society, vol. 99(395), pages 113-25, Supplemen.
- Haldrup, Niels & Salmon, Mark, 1998. "Representations of I(2) cointegrated systems using the Smith-McMillan form," Journal of Econometrics, Elsevier, vol. 84(2), pages 303-325, June.
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