A General Representation Theorem for Integrated Vector Autoregressive Processes
Publikation: Working paper › Forskning
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- 0616
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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 |
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Udgivelsessted | Cph. |
Udgiver | Department of Economics, University of Copenhagen |
Antal sider | 20 |
Status | Udgivet - 2006 |
Bibliografisk note
JEL Classification: C32
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