The Integration Order of Vector Autoregressive Processes
Publikation: Working paper › Forskning
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The Integration Order of Vector Autoregressive Processes. / Franchi, Massimo.
Cph. : Department of Economics, University of Copenhagen, 2006.Publikation: Working paper › Forskning
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TY - UNPB
T1 - The Integration Order of Vector Autoregressive Processes
AU - Franchi, Massimo
N1 - JEL Classification: C32
PY - 2006
Y1 - 2006
N2 - We show that the order of integration of a vector autoregressive process is equal to the difference between the multiplicity of the unit root in the characteristic equation and the multiplicity of the unit root in the adjoint matrix polynomial. The equivalence with the standard I(1) and I(2) conditions (Johansen, 1996) is proved and polynomial cointegration discussed in the general setup.
AB - We show that the order of integration of a vector autoregressive process is equal to the difference between the multiplicity of the unit root in the characteristic equation and the multiplicity of the unit root in the adjoint matrix polynomial. The equivalence with the standard I(1) and I(2) conditions (Johansen, 1996) is proved and polynomial cointegration discussed in the general setup.
KW - Faculty of Social Sciences
KW - unit roots
KW - polynomial cointegration
M3 - Working paper
BT - The Integration Order of Vector Autoregressive Processes
PB - Department of Economics, University of Copenhagen
CY - Cph.
ER -
ID: 312532