A representation theory for a class of vector autoregressive models for fractional processes

TY - JOUR

T1 - A representation theory for a class of vector autoregressive models for fractional processes

AU - Johansen, Søren

PY - 2008

Y1 - 2008

N2 - Based on an idea of Granger (1986), we analyze a new vector autoregressive model defined from the fractional lag operator 1-(1-L)^{d}. We first derive conditions in terms of the coefficients for the model to generate processes which are fractional of order zero. We then show that if there is a unit root, the model generates a fractional process X(t) of order d, d>0, for which there are vectors ß so that ß'X(t) is fractional of order d-b, 0

AB - Based on an idea of Granger (1986), we analyze a new vector autoregressive model defined from the fractional lag operator 1-(1-L)^{d}. We first derive conditions in terms of the coefficients for the model to generate processes which are fractional of order zero. We then show that if there is a unit root, the model generates a fractional process X(t) of order d, d>0, for which there are vectors ß so that ß'X(t) is fractional of order d-b, 0

KW - Faculty of Social Sciences

U2 - 10.1017/S0266466608080274

DO - 10.1017/S0266466608080274

M3 - Journal article

SN - 0266-4666

VL - 24

SP - 651

EP - 676

JO - Econometric Theory

JF - Econometric Theory

IS - 3

ER -