THE INTEGRATION ORDER OF VECTOR AUTOREGRESSIVE PROCESSES
نویسندگان
چکیده
منابع مشابه
The Integration Order of Vector Autoregressive Processes
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.
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We are grateful to Bernard Hanzon for helpful comments. The research for this paper was carried out within Sonderforschungsbereich 373 at the Humboldt University Berlin and was printed using funds made available by the Deutsche Forschungsgemeinschaft.
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ژورنال
عنوان ژورنال: Econometric Theory
سال: 2007
ISSN: 0266-4666,1469-4360
DOI: 10.1017/s0266466607070259