Forskning ved Københavns Universitet - Københavns Universitet

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A General Representation Theorem for Integrated Vector Autoregressive Processes

Publikation: Working paperForskning

Dokumenter

  • 0616

    Forlagets udgivne version, 202 KB, PDF-dokument

  • 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
OriginalsprogEngelsk
Udgivelses stedCph.
UdgiverDepartment of Economics, University of Copenhagen
Antal sider20
StatusUdgivet - 2006

Bibliografisk note

JEL Classification: C32

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