Representation of cointegrated autoregressive processes with application to fractional processes

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Representation of cointegrated autoregressive processes with application to fractional processes. / Johansen, Søren.

I: Econometric Reviews, Bind 28, Nr. 1-3, 2009, s. 121-145.

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt

Harvard

Johansen, S 2009, 'Representation of cointegrated autoregressive processes with application to fractional processes', Econometric Reviews, bind 28, nr. 1-3, s. 121-145. https://doi.org/10.1080/07474930802387977

APA

Johansen, S. (2009). Representation of cointegrated autoregressive processes with application to fractional processes. Econometric Reviews, 28(1-3), 121-145. https://doi.org/10.1080/07474930802387977

Vancouver

Johansen S. Representation of cointegrated autoregressive processes with application to fractional processes. Econometric Reviews. 2009;28(1-3):121-145. https://doi.org/10.1080/07474930802387977

Author

Johansen, Søren. / Representation of cointegrated autoregressive processes with application to fractional processes. I: Econometric Reviews. 2009 ; Bind 28, Nr. 1-3. s. 121-145.

Bibtex

@article{fcb61750e23c11ddb5fc000ea68e967b,
title = "Representation of cointegrated autoregressive processes with application to fractional processes",
abstract = "We analyse vector autoregressive processes using the matrix valued characteristic polynomial. The purpose of this  paper is to give a survey of the mathematical results on inversion of a matrix polynomial in case there are unstable roots, to study integrated and cointegrated processes. The new results are in the I(2) representation, which contains explicit formulas for the first two terms and a useful property of the third. We define a new error correction model for fractional processes and derive a representation of the solution.",
author = "S{\o}ren Johansen",
note = "JEL classification: C32",
year = "2009",
doi = "10.1080/07474930802387977",
language = "English",
volume = "28",
pages = "121--145",
journal = "Econometric Reviews",
issn = "0747-4938",
publisher = "Taylor & Francis",
number = "1-3",

}

RIS

TY - JOUR

T1 - Representation of cointegrated autoregressive processes with application to fractional processes

AU - Johansen, Søren

N1 - JEL classification: C32

PY - 2009

Y1 - 2009

N2 - We analyse vector autoregressive processes using the matrix valued characteristic polynomial. The purpose of this  paper is to give a survey of the mathematical results on inversion of a matrix polynomial in case there are unstable roots, to study integrated and cointegrated processes. The new results are in the I(2) representation, which contains explicit formulas for the first two terms and a useful property of the third. We define a new error correction model for fractional processes and derive a representation of the solution.

AB - We analyse vector autoregressive processes using the matrix valued characteristic polynomial. The purpose of this  paper is to give a survey of the mathematical results on inversion of a matrix polynomial in case there are unstable roots, to study integrated and cointegrated processes. The new results are in the I(2) representation, which contains explicit formulas for the first two terms and a useful property of the third. We define a new error correction model for fractional processes and derive a representation of the solution.

U2 - 10.1080/07474930802387977

DO - 10.1080/07474930802387977

M3 - Journal article

VL - 28

SP - 121

EP - 145

JO - Econometric Reviews

JF - Econometric Reviews

SN - 0747-4938

IS - 1-3

ER -

ID: 9724310