A PARAMETRIC CHARACTERIZATION OF INTEGRATED VECTOR AUTOREGRESSIVE (VAR) PROCESSES

Lisbeth la Cour

Econometric Theory, 1998, vol. 14, issue 02, pages 187-199

Abstract: This paper provides a polynomial factorization theorem that is then used to extend the characterization parts of the parametric representation theorems of Johansen (1992, Econometric Theory 8, 188 202) for vector autoregressive processes integrated of up to order 2. A characterization theorem is provided in the general case of an I(d) process. For the discussion of the complicated polynomial cointegration properties of such processes, the case of an I(3) process is considered as an example.

Date: 1998

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Persistent link: http://EconPapers.repec.org/RePEc:cup:etheor:v:14:y:1998:i:02:p:187-199_14

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