The Johansen-Granger Representation Theorem: An Explicit Expression for I(1) Processes

Peter Hansen

University of California at San Diego, Economics Working Paper Series from Department of Economics, UC San Diego

Abstract: The Johansen-Granger representation theorem for the cointegrated vector autoregressive process is derived using the companion form. This approach yields an explicit representation of all coefficients and initial values. This result is useful for impulse response analysis, common feature analysis and asymptotic analysis of cointegrated processes.

Keywords: vector; autoregressive; process (search for similar items in EconPapers)
Date: 2000-07-01
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Citations: View citations in EconPapers (3)

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