Framroze Møller, Niels (contributor) - 2008
deterministic components, the initial values, x1 k;::::x0; are �xed,
A has full rank and represents a normalization, ut i:i:N(0 … Equilibrium-) Correction-Mechanism form (ECM) as,
xt = xt 1 +
k 1X
i=1
i xt i + Dt +"t; (8)
where ki=1 i Ip and i … characteristic equation cor-
responding to (8),
jA(z)j = 0; (9)
where j j denotes the determinant and where,
A(z) (1 z)I z
k 1X …