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

DOI10.1016/S0304-4076(97)00088-2zbMath1008.62717MaRDI QIDQ1298451

Mark Salmon, Niels Haldrup

Publication date: 21 April 2003

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

zbMATH Keywords

cointegrationerror correctiontriangular decompositioncommon stochastic trendsBewley representationSmith-McMillan canonical form

Mathematics Subject Classification ID

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

Related Items

THE INTEGRATION ORDER OF VECTOR AUTOREGRESSIVE PROCESSES ⋮ Bayesian Inference in CointegratedI(2) Systems: A Generalization of the Triangular Model ⋮ Inversion of regular analytic matrix functions: Local Smith form and subspace duality ⋮ An alternative proof of Granger’s Representation Theorem forI(1) systems through Jordan matrices ⋮ THE LINEAR SYSTEMS APPROACH TO LINEAR RATIONAL EXPECTATIONS MODELS ⋮ Identification conditions in simultaneous systems of cointegrating equations with integrated variables of higher order ⋮ Representation of Cointegrated Autoregressive Processes with Application to Fractional Processes ⋮ Inverting a Matrix Function around a Singularity via Local Rank Factorization ⋮ A new proof of the representation theorem for I(2) processes ⋮ A general inversion theorem for cointegration

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