A representation theory for a class of vector autoregressive models for fractional processes
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A representation theory for a class of vector autoregressive models for fractional processes. / Johansen, Søren.
In: Econometric Theory, Vol. 24, No. 3, 2008, p. 651-676.Research output: Contribution to journal › Journal article › Research › peer-review
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TY - JOUR
T1 - A representation theory for a class of vector autoregressive models for fractional processes
AU - Johansen, Søren
PY - 2008
Y1 - 2008
N2 - Based on an idea of Granger (1986), we analyze a new vector autoregressive model defined from the fractional lag operator 1-(1-L)^{d}. We first derive conditions in terms of the coefficients for the model to generate processes which are fractional of order zero. We then show that if there is a unit root, the model generates a fractional process X(t) of order d, d>0, for which there are vectors ß so that ß'X(t) is fractional of order d-b, 0
AB - Based on an idea of Granger (1986), we analyze a new vector autoregressive model defined from the fractional lag operator 1-(1-L)^{d}. We first derive conditions in terms of the coefficients for the model to generate processes which are fractional of order zero. We then show that if there is a unit root, the model generates a fractional process X(t) of order d, d>0, for which there are vectors ß so that ß'X(t) is fractional of order d-b, 0
KW - Faculty of Social Sciences
U2 - 10.1017/S0266466608080274
DO - 10.1017/S0266466608080274
M3 - Journal article
VL - 24
SP - 651
EP - 676
JO - Econometric Theory
JF - Econometric Theory
SN - 0266-4666
IS - 3
ER -
ID: 4142039