A short-cut derivation for the solution of autoregressive models for sharp algebraic arguments

Risultato della ricerca: Contributo in rivistaArticolo in rivistapeer review

Abstract

This article uses algebraic arguments to cast light on the solution of vector autoregressive models in the presence of unit roots. First, the linear case and then the multi-lag specification are investigated. Clear-cut representations of the model solutions are obtained, closed-form expressions of the coefficient matrices are provided, and integration features and cointegration mechanisms for stationarity recovery are elucidated.
Lingua originaleEnglish
pagine (da-a)3704-3721
Numero di pagine18
RivistaCOMMUNICATIONS IN STATISTICS. THEORY AND METHODS
DOI
Stato di pubblicazionePubblicato - 2012

Keywords

  • Drazin inverse
  • Integrated solution
  • Laurent expansion
  • Stationarity recovery
  • Vector autoregressive model

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