The Integration Order of Vector Autoregressive Processes

Massimo Franchi

No 06-05, Discussion Papers from University of Copenhagen. Department of Economics

Abstract: We show that the order of integration of a vector autoregressive process is equal to the difference between the multiplicity of the unit root in the characteristic equation and the multiplicity of the unit root in the adjoint matrix polynomial. The equivalence with the standard I(1) and I(2) conditions (Johansen, 1996) is proved and polynomial cointegration discussed in the general setup.

Keywords: unit roots; order of integration; polynomial cointegration (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
Pages: 9 pages
New Economics Papers: this item is included in nep-ecm and nep-ets
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Related works:
Journal Article: THE INTEGRATION ORDER OF VECTOR AUTOREGRESSIVE PROCESSES (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:kud:kuiedp:0605

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