Representation of cointegrated autoregressive processes with application to fractional processes
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Representation of cointegrated autoregressive processes with application to fractional processes. / Johansen, Søren.
In: Econometric Reviews, Vol. 28, No. 1-3, 2009, p. 121-145.Research output: Contribution to journal › Journal article › Research › peer-review
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TY - JOUR
T1 - Representation of cointegrated autoregressive processes with application to fractional processes
AU - Johansen, Søren
N1 - JEL classification: C32
PY - 2009
Y1 - 2009
N2 - We analyse vector autoregressive processes using the matrix valued characteristic polynomial. The purpose of this paper is to give a survey of the mathematical results on inversion of a matrix polynomial in case there are unstable roots, to study integrated and cointegrated processes. The new results are in the I(2) representation, which contains explicit formulas for the first two terms and a useful property of the third. We define a new error correction model for fractional processes and derive a representation of the solution.
AB - We analyse vector autoregressive processes using the matrix valued characteristic polynomial. The purpose of this paper is to give a survey of the mathematical results on inversion of a matrix polynomial in case there are unstable roots, to study integrated and cointegrated processes. The new results are in the I(2) representation, which contains explicit formulas for the first two terms and a useful property of the third. We define a new error correction model for fractional processes and derive a representation of the solution.
U2 - 10.1080/07474930802387977
DO - 10.1080/07474930802387977
M3 - Journal article
VL - 28
SP - 121
EP - 145
JO - Econometric Reviews
JF - Econometric Reviews
SN - 0747-4938
IS - 1-3
ER -
ID: 9724310