An alternative proof of Granger’s Representation Theorem forI(1) systems through Jordan matrices
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References listed on IDEAS
- Hylleberg, Svend & Mizon, Grayham E, 1989. "Cointegration and Error Correction Mechanisms," Economic Journal, Royal Economic Society, vol. 99(395), pages 113-125, Supplemen.
- Banerjee, Anindya & Dolado, Juan J. & Galbraith, John W. & Hendry, David, 1993. "Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data," OUP Catalogue, Oxford University Press, number 9780198288107.
- 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.
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- Dietmar Bauer & Martin Wagner, 2002.
"A Canonical Form for Unit Root Processes in the State Space Framework,"
dp0204, Universitaet Bern, Departement Volkswirtschaft.
- Dietmar Bauer & Martin Wagner, 2003. "A Canonical Form for Unit Root Processes in the State Space Framework," Diskussionsschriften dp0312, Universitaet Bern, Departement Volkswirtschaft.
- Massimo Franchi & Paolo Paruolo, 2017. "A general inversion theorem for cointegration," DSS Empirical Economics and Econometrics Working Papers Series 2017/3, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
- Maria Grazia Zoia, 2006. "A New Algebra ic Approach to Representation Theorems for (Co)integrated Processes up to the Second Order," Research Papers by the Institute of Economics and Econometrics, Geneva School of Economics and Management, University of Geneva 2006.06, Institut d'Economie et Econométrie, Université de Genève.
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KeywordsVAR Systems; Integrated Series; Granger’s Representation; Jordan matrices;
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