arXiv
Open Access
2021
Cointegrated Solutions of Unit-Root VARs: An Extended Representation Theorem
Mario Faliva
Maria Grazia Zoia
Abstrak
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.
Topik & Kata Kunci
Penulis (2)
M
Mario Faliva
M
Maria Grazia Zoia
Akses Cepat
Informasi Jurnal
- Tahun Terbit
- 2021
- Bahasa
- en
- Sumber Database
- arXiv
- Akses
- Open Access ✓