A General Representation Theorem for Integrated Vector Autoregressive Processes

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A General Representation Theorem for Integrated Vector Autoregressive Processes

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Massimo Franchi (Department of Economics, University of Copenhagen)

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Massimo Franchi

Abstract

We study the algebraic structure of an I(d) vector autoregressive process, where d is restricted to be an integer. This is useful to characterize its polynomial cointegrating relations and its moving average representation, that is to prove a version of the Granger representation theorem valid for I(d) vector autoregressive processes.

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Paper provided by University of Copenhagen. Department of Economics in its series Discussion Papers with number 06-16.

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Length: 13 pages
Date of creation: Aug 2006
Date of revision:
Handle: RePEc:kud:kuiedp:0616

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Find related papers by JEL classification:
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions

This paper has been announced in the following NEP Reports:

NEP-ALL-2006-09-16 (All new papers)
NEP-ECM-2006-09-16 (Econometrics)
NEP-ETS-2006-09-16 (Econometric Time Series)
NEP-KNM-2006-09-16 (Knowledge Management & Knowledge Economy)

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