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

DOI10.1016/S0304-4076(97)00088-2MaRDI QIDQ1298451zbMATH OpenFDO

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

• scientific article; zbMATH DE number 3711820 (Why is no real title available?)
• scientific article; zbMATH DE number 1865389 (Why is no real title available?)
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• On the determination of integration indices in I(2) systems
• Optimal Inference in Cointegrated Systems
• Polynomial cointegration. Estimation and test
• Seasonal cointegration. The Japanese consumption function (with discussion)
• Seasonal integration and cointegration
• Statistical Inference in Instrumental Variables Regression with I(1) Processes
• Statistical analysis of cointegration vectors
• THE COINTEGRATION PROPERTIES OF VECTOR AUTOREGRESSION MODELS
• Testing for Common Trends
• UNIT ROOTS IN PERIODIC AUTOREGRESSIONS

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 integration order of vector autoregressive processes
• The linear systems approach to linear rational expectations models
• 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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