Jordan Matrices on the Equivalence of the I(1) Conditions for VAR Systems

F. Archontakis

Economics Working Papers from European University Institute

Abstract: The Jordan Form of the VAR's Companion matrix is used for proving the equivalence between the statement that there are no jordan blocks of order two or higher in the Jordan matrix and the conditions of Granger's Representation Theorem for an I(1) series. Furthermore, a Diagonal polynomial matrix containing the unit roots assocxiated to the VAR system is derived and related to Granger's Reprensentation Theorem.

Keywords: ECONOMETRICS; MATHEMATICAL ANALYSIS; STATISTICAL ANALYSIS (search for similar items in EconPapers)
JEL-codes: C00 C40 C60 (search for similar items in EconPapers)
Pages: 27 pages
Date: 1999
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Citations: View citations in EconPapers (1)

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