Representations of I(2) cointegrated systems using the Smith-McMillan form

DOI10.1016/S0304-4076(97)00088-2zbMATH Open1008.62717MaRDI QIDQ1298451FDOQ1298451

Authors: Niels Haldrup, Mark Salmon 

Publication date: 21 April 2003

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

cointegrationtriangular decompositionerror correctioncommon stochastic trendsBewley representationSmith-McMillan canonical form

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Cites Work

• Seasonal integration and cointegration
• Statistical Inference in Instrumental Variables Regression with I(1) Processes
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Title not available (Why is that?)
• Statistical analysis of cointegration vectors
• Estimating Long-Run Economic Equilibria
• A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
• Optimal Inference in Cointegrated Systems
• Seasonal cointegration. The Japanese consumption function (with discussion)
• Polynomial cointegration. Estimation and test
• On the determination of integration indices in I(2) systems
• A Stastistical Analysis of Cointegration for I(2) Variables
• Testing for Common Trends
• ASYMPTOTIC EFFICIENCY OF THE TWO STAGE ESTIMATOR IN I (2) SYSTEMS
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• Nested Reduced-Rank Autogressive Models for Multiple Time Series
• UNIT ROOTS IN PERIODIC AUTOREGRESSIONS
• THE COINTEGRATION PROPERTIES OF VECTOR AUTOREGRESSION MODELS
• Error correction models, cointegration and the internal model principle
• Title not available (Why is that?)
• Multiple unit roots in periodic autoregression

Cited In (10)

• Bayesian Inference in CointegratedI(2) Systems: A Generalization of the Triangular Model
• An alternative proof of Granger’s Representation Theorem forI(1) systems through Jordan matrices
• A general inversion theorem for cointegration
• Representation of Cointegrated Autoregressive Processes with Application to Fractional Processes
• Inversion of regular analytic matrix functions: Local Smith form and subspace duality
• Inverting a matrix function around a singularity via local rank factorization
• The linear systems approach to linear rational expectations models
• The integration order of vector autoregressive processes
• A new proof of the representation theorem for I(2) processes
• Identification conditions in simultaneous systems of cointegrating equations with integrated variables of higher order

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