TY - JOUR
T1 - A short-cut derivation for the solution of autoregressive models for sharp algebraic arguments
AU - Zoia, Maria
AU - Barbieri, Laura
PY - 2012
Y1 - 2012
N2 - This article uses algebraic arguments to cast light on the solution of vector\r\nautoregressive 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.
AB - This article uses algebraic arguments to cast light on the solution of vector\r\nautoregressive 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.
KW - Drazin inverse
KW - Integrated solution
KW - Laurent expansion
KW - Stationarity recovery
KW - Vector autoregressive model
KW - Drazin inverse
KW - Integrated solution
KW - Laurent expansion
KW - Stationarity recovery
KW - Vector autoregressive model
UR - https://publicatt.unicatt.it/handle/10807/29516
UR - https://www.scopus.com/inward/citedby.uri?partnerID=HzOxMe3b&scp=84866033106&origin=inward
UR - https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84866033106&origin=inward
U2 - 10.1080/03610926.2011.566977
DO - 10.1080/03610926.2011.566977
M3 - Article
SN - 0361-0926
SP - 3704
EP - 3721
JO - Communications in Statistics - Theory and Methods
JF - Communications in Statistics - Theory and Methods
IS - 41
ER -