Cointegrated Solutions of Unit-Root VARs: An Extended Representation Theorem

Mario Faliva and Maria Zoia

Papers from arXiv.org

Abstract: This paper establishes an extended representation theorem for unit-root VARs. A specific algebraic technique is devised to recover stationarity from the solution of the model in the form of a cointegrating transformation. Closed forms of the results of interest are derived for integrated processes up to the 4-th order. An extension to higher-order processes turns out to be within the reach on an induction argument.

Date: 2021-02
New Economics Papers: this item is included in nep-ecm and nep-ets
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