A PARAMETRIC CHARACTERIZATION OF INTEGRATED VECTOR AUTOREGRESSIVE (VAR) PROCESSES
| Autor: | Lisbeth la Cour |
|---|---|
| Rok vydání: | 1998 |
| Předmět: |
Economics and Econometrics
Nonlinear autoregressive exogenous model Polynomial Mathematical optimization Autoregressive model Factorization of polynomials Applied mathematics Social Sciences (miscellaneous) STAR model Parametric statistics Vector autoregression Mathematics General matrix notation of a VAR |
| Zdroj: | Econometric Theory. 14:187-199 |
| ISSN: | 1469-4360 0266-4666 |
| DOI: | 10.1017/s0266466698142020 |
| Popis: | This paper provides a polynomial factorization theorem that is then used to extend the characterization parts of the parametric representation theorems of Johansen (1992, Econometric Theory 8, 188–202) for vector autoregressive processes integrated of up to order 2. A characterization theorem is provided in the general case of an I(d) process. For the discussion of the complicated polynomial cointegration properties of such processes, the case of an I(3) process is considered as an example. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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