A General Representation Theorem for Integrated Vector Autoregressive Processes

Massimo Franchi

No 06-16, Discussion Papers from University of Copenhagen. Department of Economics

Abstract: We study the algebraic structure of an I(d) vector autoregressive process, where d is restricted to be an integer. This is useful to characterize its polynomial cointegrating relations and its moving average representation, that is to prove a version of the Granger representation theorem valid for I(d) vector autoregressive processes.

Keywords: vector autoregressive processes; unit roots; Granger representation theorem; cointegration (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
Pages: 13 pages
Date: 2006-08
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-knm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.econ.ku.dk/english/research/publications/wp/2006/0616.pdf/ (application/pdf)

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:kud:kuiedp:0616

Access Statistics for this paper

More papers in Discussion Papers from University of Copenhagen. Department of Economics Oester Farimagsgade 5, Building 26, DK-1353 Copenhagen K., Denmark. Contact information at EDIRC.
Bibliographic data for series maintained by Thomas Hoffmann ().