On the Granger representation theorem: A counter example?

DOI10.1016/S0165-1765(98)00091-3MaRDI QIDQ1274180zbMATH OpenOpenAlexFDO

Authors Masao Ogaki

Publication date 12 January 1999

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0165-1765(98)00091-3

zbMATH Keywords

cointegrationerror correction representation

Mathematics Subject Classification ID

Economic time series analysis (91B84)

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Cites work

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Cited in

(2)

• An alternative proof of Granger’s Representation Theorem forI(1) systems through Jordan matrices
• Granger's representation theorem: A closed‐form expression for I(1) processes

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