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

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.