A REPRESENTATION THEORY FOR A CLASS OF VECTOR AUTOREGRESSIVE MODELS FOR FRACTIONAL PROCESSES

Soren Johansen ()

Econometric Theory, 2008, vol. 24, issue 03, pages 651-676

Abstract: Based on an idea of Granger (1986, Oxford Bulletin of Economics and Statistics 48, 213 (1 so that Xt is fractional of order d d. We find a representation of the solution that demonstrates the fractional properties. Finally we suggest a model that allows for a polynomial fractional vector, that is, the process Xt is fractional of order d, Xt is fractional of order d bXt is fractional of order d 2b. The representations and conditions are analogous to the well-known conditions for I(0), I(1), and I(2) variables.

Date: 2008
View citations in EconPapers

Downloads: (external link)
http://journals.cambridge.org/abstract_S0266466608080274 link to article abstract page (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:cup:etheor:v:24:y:2008:i:03:p:651-676_08

Access Statistics for this article

More articles in Econometric Theory from Cambridge University Press
Address: The Edinburgh Building, Shaftesbury Road, Cambridge CB2 2RU UK
Series data maintained by Mike Eden ().