Multivariate Time Series: A Polynomial Error Correction Representation Theorem
We consider a class of multivariate processes which, when differenced enough, yield covariance stationary processes whose determinants of the Wold representation have I as their only root on the unit circle. A representation theorem is proved for this class of processes that generalizes the Granger representation theorem.
Volume (Year): 9 (1993)
Issue (Month): 03 (June)
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