Representation of cointegrated autoregressive processes with application to fractional processes

Søren Johansen

doi:10.1080/07474930802387977

Representation of cointegrated autoregressive processes with application to fractional processes

30 Citations (Scopus)

Abstract

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.

Original language	English
Journal	Econometric Reviews
Volume	28
Issue number	1-3
Pages (from-to)	121-145
Number of pages	25
ISSN	0747-4938
DOIs	https://doi.org/10.1080/07474930802387977
Publication status	Published - 2009

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10.1080/07474930802387977

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title = "Representation of cointegrated autoregressive processes with application to fractional processes",

abstract = "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.",

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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.

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DO - 10.1080/07474930802387977

M3 - Journal article

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SP - 121

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JO - Econometric Reviews

JF - Econometric Reviews

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Representation of cointegrated autoregressive processes with application to fractional processes

Abstract

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