Some Reparameterizations of Lag Polynomials for Dynamic Analysis

Simon P Burke

Oxford Bulletin of Economics and Statistics, 1996, vol. 58, issue 2, 373-89

Abstract: Various reparameterizations of scalar polynomials are considered in the context of lag polynomials. These are used to explore possibilities of testing for stationarity autoregressive roots, repeated roots, and polynomial factors of given form. Multivariate generalizations of these results are then applied to VAR models and to comovement between the component series of such systems. The link between the representation of unit roots in the univariate case and cointegration in multivariate systems is demonstrated. Copyright 1996 by Blackwell Publishing Ltd

Date: 1996
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