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A PARAMETRIC CHARACTERIZATION OF INTEGRATED VECTOR AUTOREGRESSIVE (VAR) PROCESSES

Published online by Cambridge University Press:  01 April 1998

Lisbeth la Cour
Affiliation:
Copenhagen Business School
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Abstract

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This paper provides a polynomial factorization theorem that is then used to extend the characterization parts of the parametric representation theorems of Johansen (1992, Econometric Theory 8, 188–202) for vector autoregressive processes integrated of up to order 2. A characterization theorem is provided in the general case of an I(d) process. For the discussion of the complicated polynomial cointegration properties of such processes, the case of an I(3) process is considered as an example.

Information

Type
Research Article
Copyright
© 1998 Cambridge University Press