Granger's Representation Theorem and Multicointegration
AbstractWe consider multicointegration in the sense of Granger and Lee (1990), that is, the cumulated equilibrium error cointegrates with the process itself. It is shown, that if the process is given by the cointegrated VAR model for I(1) variables, then multicointegration cannot occur. If, however, the cumulated process satisfies an I(2) model then multicointegration may occur. Finally conditions are given on the moving average representation for the process to exhibit multicointegration. This result generalizes the analysis of Granger and Lee.
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Bibliographic InfoPaper provided by European University Institute in its series Economics Working Papers with number eco97/15.
Length: 13 pages
Date of creation: 1997
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- Regina Escario & María Dolores Gadea & Marcela Sabaté, 2009. "Government Solvency or just Pseudo-Sustainability? a Long-Run Multicointegration Approach for Spain," Documentos de Trabajo dt2009-07, Facultad de Ciencias Económicas y Empresariales, Universidad de Zaragoza.
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- Scheiblecker, Marcus, 2013.
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- Marcus Scheiblecker, 2012. "Between Cointegration and Multicointegration. Modelling Time Series Dynamics by Cumulative Error Correction Models," WIFO Working Papers 431, WIFO.
- Leachman, Lori L. & Francis, Bill B., 2000. "Multicointegration Analysis of the Sustainability of Foreign Debt," Journal of Macroeconomics, Elsevier, vol. 22(2), pages 207-227, April.
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