TY - JOUR
T1 - A Unified representation theorem on new algebraic bases for (co)integrated processes up to the second order
AU - Zoia, Maria
PY - 2009
Y1 - 2009
N2 - The paper establishes a unified representation theorem for (co)integrated processes up to the second order which provides a compact and informative insight into the solution of VAR models with unit roots,
and sheds light on the cointegration features of the engendered processes. The theorem is primarily stated by taking a one-lag specification as a reference frame, and it is afterwards extended to cover
the case of an arbitrary number of lags via a companion-form based approach. All proofs are obtained by resorting to an innovative and powerful algebraic apparatus tailored to the derivation of the intended
results.
AB - The paper establishes a unified representation theorem for (co)integrated processes up to the second order which provides a compact and informative insight into the solution of VAR models with unit roots,
and sheds light on the cointegration features of the engendered processes. The theorem is primarily stated by taking a one-lag specification as a reference frame, and it is afterwards extended to cover
the case of an arbitrary number of lags via a companion-form based approach. All proofs are obtained by resorting to an innovative and powerful algebraic apparatus tailored to the derivation of the intended
results.
KW - Laurent expansion in matrix form
KW - Unified representation theorem
KW - cointegration
KW - orthogonal-complement algebra
KW - Laurent expansion in matrix form
KW - Unified representation theorem
KW - cointegration
KW - orthogonal-complement algebra
UR - http://hdl.handle.net/10807/20533
M3 - Article
SN - 0972-3617
VL - 12
SP - 37
EP - 66
JO - ADVANCES AND APPLICATIONS IN STATISTICS
JF - ADVANCES AND APPLICATIONS IN STATISTICS
ER -