The Integration Order of Vector Autoregressive Processes

Publikation: Working paperForskning

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    Forlagets udgivne version, 172 KB, PDF-dokument

  • Massimo Franchi
We show that the order of integration of a vector autoregressive process is equal to the difference between the multiplicity of the unit root in the characteristic equation and the multiplicity of the unit root in the adjoint matrix polynomial. The equivalence with the standard I(1) and I(2) conditions (Johansen, 1996) is proved and polynomial cointegration discussed in the general setup.
OriginalsprogEngelsk
UdgivelsesstedCph.
UdgiverDepartment of Economics, University of Copenhagen
Antal sider10
StatusUdgivet - 2006

Bibliografisk note

JEL Classification: C32

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