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

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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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