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 originale | English |
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pagine (da-a) | 3704-3721 |
Numero di pagine | 18 |
Rivista | COMMUNICATIONS IN STATISTICS. THEORY AND METHODS |
DOI | |
Stato di pubblicazione | Pubblicato - 2012 |
Keywords
- Drazin inverse
- Integrated solution
- Laurent expansion
- Stationarity recovery
- Vector autoregressive model