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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)

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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File URL: http://www.econ.ku.dk/english/research/publications/wp/2006/0616.pdf/
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Bibliographic Info

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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Keywords: vector autoregressive processes; unit roots; Granger representation theorem; cointegration;

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  1. la Cour, Lisbeth, 1998. "A Parametric Characterization Of Integrated Vector Autoregressive (Var) Processes," Econometric Theory, Cambridge University Press, vol. 14(02), pages 187-199, April.
  2. 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.
  3. Gregoir, Stephane & Laroque, Guy, 1994. "Polynomial cointegration estimation and test," Journal of Econometrics, Elsevier, vol. 63(1), pages 183-214, July.
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