A general inversion theorem for cointegration

Massimo Franchi and Paolo Paruolo

No 2017/3, DSS Empirical Economics and Econometrics Working Papers Series from Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome

Abstract: A generalization of the Granger and the Johansen Representation Theorems valid for any (possibly fractional) order of integration is presented. This is based on an inversion theorem that characterizes the order of the pole and the coefficients of the Laurent series representation of the inverse of a matrix function around a singular point. Explicit expressions of the matrix coecients of the (polynomial) cointegrating relations, of the common trends and of the triangular representations are provided, either starting from the Moving Average or the Auto Regressive form. This unifies the different approaches in the literature, and extends them to an arbitrary order of integration.

Keywords: Cointegration; Common Trends; Triangular representation; Local Smith form; Moving Average representation; Autoregressive representation. (search for similar items in EconPapers)
JEL-codes: C12 C33 C55 (search for similar items in EconPapers)
Pages: 18 pages
Date: 2017-06
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://www.dss.uniroma1.it/RePec/sas/wpaper/20173_FP.pdf First version, 2017 (application/pdf)

Related works:
Journal Article: A general inversion theorem for cointegration (2019)
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:sas:wpaper:20173

Access Statistics for this paper

More papers in DSS Empirical Economics and Econometrics Working Papers Series from Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome Contact information at EDIRC.
Bibliographic data for series maintained by Stefano Fachin ( this e-mail address is bad, please contact ).