A Representation of Vector Autoregressive Processes Integrated of Order 2

Soren Johansen

Econometric Theory, 1992, vol. 8, issue 2, 188-202

Abstract: We investigate vector autoregressive processes and find the condition under which the processes are I(2). A representation theorem forsuch processes is proved and the interpretation of the AR model as an error correction model is discussed.

Date: 1992
References: Add references at CitEc
Citations: View citations in EconPapers (119)

Downloads: (external link)
https://www.cambridge.org/core/product/identifier/ ... type/journal_article 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: https://EconPapers.repec.org/RePEc:cup:etheor:v:8:y:1992:i:02:p:188-202_01

Access Statistics for this article

More articles in Econometric Theory from Cambridge University Press Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.
Bibliographic data for series maintained by Kirk Stebbing ().