Multivariate Time Series: A Polynomial Error Correction Representation Theorem

Stéphane Gregoir and Guy Laroque

Econometric Theory, 1993, vol. 9, issue 3, 329-342

Abstract: We consider a class of multivariate processes which, when differenced enough, yield covariance stationary processes whose determinants of the Wold representation have I as their only root on the unit circle. A representation theorem is proved for this class of processes that generalizes the Granger representation theorem.

Date: 1993
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