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Likelihood-Based Inference in Cointegrated Vector Autoregressive Models$
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Søren Johansen

Print publication date: 1995

Print ISBN-13: 9780198774501

Published to Oxford Scholarship Online: November 2003

DOI: 10.1093/0198774508.001.0001

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Cointegration and Representation of Integrated Variables

Cointegration and Representation of Integrated Variables

Chapter:
(p.45) 4 Cointegration and Representation of Integrated Variables
Source:
Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
Author(s):

Søren Johansen (Contributor Webpage)

Publisher:
Oxford University Press
DOI:10.1093/0198774508.003.0004

Contains the mathematical and algebraic results needed to understand the properties of I(1) and I(2) processes generated by autoregressive and moving average models. The basic result is Grangers representation theorem, which gives necessary and sufficient conditions on the coefficients of the autoregressive model for the process to be integrated of order 1 and 2. We introduce the error correction model for I(1) and I(2) processes.

Keywords:   autoregressive model, error correction model, Granger representation theorem, I(1) process, I(2) process, moving average model

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