Johansen, Søren - In: Econometrics : open access journal 7 (2019) 1/2, pp. 1-10
A multivariate CVAR(1) model for some observed variables and some unobserved variables is analysed using its infinite order CVAR representation of the observations. Cointegration and adjustment coefficients in the infinite order CVAR are found as functions of the parameters in the CVAR(1) model....