The Integration Order of Vector Autoregressive Processes
Research output: Working paper
Documents
- 0605
Final published version, 172 KB, PDF document
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.
Original language | English |
---|---|
Place of Publication | Cph. |
Publisher | Department of Economics, University of Copenhagen |
Number of pages | 10 |
Publication status | Published - 2006 |
- Faculty of Social Sciences - unit roots, polynomial cointegration
Research areas
Number of downloads are based on statistics from Google Scholar and www.ku.dk
No data available
ID: 312532