The Integration Order of Vector Autoregressive Processes

Massimo Franchi

The Integration Order of Vector Autoregressive Processes

Massimo Franchi

Økonomisk Institut

Publikation: Working paper › Forskning

1251 Downloads (Pure)

Abstract

We show that the order of integration of a vector autoregressive process is equal to the difference between the multiplicity of the unit root in the characteristic equation and the multiplicity of the unit root in the adjoint matrix polynomial. The equivalence with the standard I(1) and I(2) conditions (Johansen, 1996) is proved and polynomial cointegration discussed in the general setup.

Originalsprog	Engelsk
Udgivelsessted	Cph.
Udgiver	Department of Economics, University of Copenhagen
Antal sider	10
Status	Udgivet - 2006

Bibliografisk note

JEL Classification: C32

Emneord

Det Samfundsvidenskabelige Fakultet

Adgang til dokumentet

0605Forlagets udgivne version, 172 KB

Citationsformater

@techreport{72882e30a7b811dbbee902004c4f4f50,

title = "The Integration Order of Vector Autoregressive Processes",

abstract = "We show that the order of integration of a vector autoregressive process is equal to the difference between the multiplicity of the unit root in the characteristic equation and the multiplicity of the unit root in the adjoint matrix polynomial. The equivalence with the standard I(1) and I(2) conditions (Johansen, 1996) is proved and polynomial cointegration discussed in the general setup.",

keywords = "Faculty of Social Sciences, unit roots, polynomial cointegration",

author = "Massimo Franchi",

note = "JEL Classification: C32",

year = "2006",

language = "English",

publisher = "Department of Economics, University of Copenhagen",

address = "Denmark",

type = "WorkingPaper",

institution = "Department of Economics, University of Copenhagen",

}

TY - UNPB

T1 - The Integration Order of Vector Autoregressive Processes

AU - Franchi, Massimo

N1 - JEL Classification: C32

PY - 2006

Y1 - 2006

N2 - We show that the order of integration of a vector autoregressive process is equal to the difference between the multiplicity of the unit root in the characteristic equation and the multiplicity of the unit root in the adjoint matrix polynomial. The equivalence with the standard I(1) and I(2) conditions (Johansen, 1996) is proved and polynomial cointegration discussed in the general setup.

AB - We show that the order of integration of a vector autoregressive process is equal to the difference between the multiplicity of the unit root in the characteristic equation and the multiplicity of the unit root in the adjoint matrix polynomial. The equivalence with the standard I(1) and I(2) conditions (Johansen, 1996) is proved and polynomial cointegration discussed in the general setup.

KW - Faculty of Social Sciences

KW - unit roots

KW - polynomial cointegration

M3 - Working paper

BT - The Integration Order of Vector Autoregressive Processes

PB - Department of Economics, University of Copenhagen

CY - Cph.

ER -