Hylleberg, Svend; Mizon, Grayham E - In: Economic Journal 99 (1989) 395, pp. 113-25
Starting from a multivariate Wold representation for N variables that are integrated of order 1, this paper shows that, given that the N variables have r cointegrating vectors, there is an equivalence between five alternative representations of the multivariate model: the autoregressive...