Multivariate Time Series: A Polynomial Error Correction Representation Theorem
We consider a class of multivariate processes which, when differenced enough, yield covariance stationary processes whose determinants of the Wold representation have I as their only root on the unit circle. A representation theorem is proved for this class of processes that generalizes the Granger representation theorem.
Year of publication: |
1993
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Authors: | Gregoir, Stéphane ; Laroque, Guy |
Published in: |
Econometric Theory. - Cambridge University Press. - Vol. 9.1993, 03, p. 329-342
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Publisher: |
Cambridge University Press |
Description of contents: | Abstract [journals.cambridge.org] |
Saved in:
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