Representation of Cointegrated Autoregressive Processes with Application to Fractional Processes
We analyze vector autoregressive processes using the matrix valued characteristic polynomial. The purpose of this article is to give a survey of the mathematical results on inversion of a matrix polynomial in case there are unstable roots, to study integrated and cointegrated processes. The new results are in the I(2) representation, which contains explicit formulas for the first two terms and a useful property of the third. We define a new error correction model for fractional processes and derive a representation of the solution.
Volume (Year): 28 (2009)
Issue (Month): 1-3 ()
|Contact details of provider:|| Web page: http://www.tandfonline.com/LECR20|
|Order Information:||Web: http://www.tandfonline.com/pricing/journal/LECR20|
When requesting a correction, please mention this item's handle: RePEc:taf:emetrv:v:28:y:2009:i:1-3:p:121-145. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ()
If references are entirely missing, you can add them using this form.