A General Representation Theorem for Integrated Vector Autoregressive Processes

Massimo Franchi

A General Representation Theorem for Integrated Vector Autoregressive Processes

Massimo Franchi

Økonomisk Institut

Publikation: Working paper › Forskning

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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

Originalsprog	Engelsk
Udgivelsessted	Cph.
Udgiver	Department of Economics, University of Copenhagen
Antal sider	20
Status	Udgivet - 2006

Bibliografisk note

JEL Classification: C32

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Citationsformater

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