Representation of cointegrated autoregressive processes with application to fractional processes

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

SN - 0747-4938

VL - 28

SP - 121

EP - 145

JO - Econometric Reviews

JF - Econometric Reviews

IS - 1-3

ER -