A General Representation Theorem for Integrated Vector Autoregressive Processes
Publikation: Working paper › Forskning
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A General Representation Theorem for Integrated Vector Autoregressive Processes. / Franchi, Massimo.
Cph. : Department of Economics, University of Copenhagen, 2006.Publikation: Working paper › Forskning
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RIS
TY - UNPB
T1 - A General Representation Theorem for Integrated Vector Autoregressive Processes
AU - Franchi, Massimo
N1 - JEL Classification: C32
PY - 2006
Y1 - 2006
N2 - 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
AB - 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
KW - Faculty of Social Sciences
KW - unit roots
KW - vector autoregressive processes
KW - Granger representation theorem
M3 - Working paper
BT - A General Representation Theorem for Integrated Vector Autoregressive Processes
PB - Department of Economics, University of Copenhagen
CY - Cph.
ER -
ID: 312778