Representation of Cointegrated Autoregressive Processes with Application to Fractional Processes

Soren Johansen

Econometric Reviews, 2009, vol. 28, issue 1-3, 121-145

Abstract: We analyze vector autoregressive processes using the matrix valued characteristic polynomial. The purpose of this article is to give a survey of the mathematical results on inversion of a matrix polynomial in case there are unstable roots, to study integrated and cointegrated processes. The new results are in the I(2) representation, which contains explicit formulas for the first two terms and a useful property of the third. We define a new error correction model for fractional processes and derive a representation of the solution.

Keywords: Error correction models; Fractional autoregressive model; Granger representation; Integration of order 1 and 2 (search for similar items in EconPapers)
Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (28)

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/07474930802387977 (text/html)
Access to full text is restricted to subscribers.

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:taf:emetrv:v:28:y:2009:i:1-3:p:121-145

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/LECR20

DOI: 10.1080/07474930802387977

Access Statistics for this article

Econometric Reviews is currently edited by Dr. Essie Maasoumi

More articles in Econometric Reviews from Taylor & Francis Journals
Bibliographic data for series maintained by ().