Cointegrated Solutions of Unit-Root VARs: An Extended Representation Theorem

• Tác giả: Mario Faliva, Maria Grazia Zoia
• Ngôn ngữ: eng
• Ký hiệu phân loại: 511.4 Approximations formerly also 513.24 and expansions
• Thông tin xuất bản: 2021
• Bộ sưu tập: Metadata
• ID: 166325

Tóm tắt

This paper establishes an extended representation theorem for unit-root VARs. A specific algebraic technique is devised to recover stationarity from the solution of the model in the form of a cointegrating transformation. Closed forms of the results of interest are derived for integrated processes up to the 4-th order. An extension to higher-order processes turns out to be within the reach on an induction argument.