The Integration Order of Vector Autoregressive Processes
Publikation: Working paper › Forskning
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- 0605
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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.
Originalsprog | Engelsk |
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Udgivelsessted | Cph. |
Udgiver | Department of Economics, University of Copenhagen |
Antal sider | 10 |
Status | Udgivet - 2006 |
Bibliografisk note
JEL Classification: C32
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ID: 312532