A General Representation Theorem for Integrated Vector Autoregressive Processes

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    Final published version, 202 KB, PDF document

  • Massimo Franchi
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
Original languageEnglish
Place of PublicationCph.
PublisherDepartment of Economics, University of Copenhagen
Number of pages20
Publication statusPublished - 2006

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