The integration order of vector autoregressive processes
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Publication:2886959
DOI10.1017/S0266466607070259zbMATH Open1274.62589OpenAlexW2130778556MaRDI QIDQ2886959FDOQ2886959
Authors: Massimo Franchi 
Publication date: 14 May 2012
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0266466607070259
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Cites Work
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- On the determination of integration indices in I(2) systems
- Representations of \(I(2)\) cointegrated systems using the Smith-McMillan form
- Granger's representation theorem: A closed‐form expression for I(1) processes
- An algebraic interpretation of cointegration
Cited In (9)
- Title not available (Why is that?)
- The role of the drift in I(2) systems
- A general inversion theorem for cointegration
- ESTIMATING CONTINUOUS-TIME MODELS ON THE BASIS OF DISCRETE DATA VIA AN EXACT DISCRETE ANALOG
- A characterization of vector autoregressive processes with common cyclical features
- A REPRESENTATION THEORY FOR A CLASS OF VECTOR AUTOREGRESSIVE MODELS FOR FRACTIONAL PROCESSES
- Representation of I(1) and I(2) autoregressive Hilbertian processes
- A representation theory for polynomial cofractionality in vector autoregressive models
- THE COINTEGRATION PROPERTIES OF VECTOR AUTOREGRESSION MODELS
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