Johansen, SØren - In: Econometric Theory 24 (2008) 03, pp. 651-676
Based on an idea of Granger (1986, <italic>Oxford Bulletin of Economics and Statistics</italic> 48, 213–228), we analyze a new vector autoregressive model defined from the fractional lag operator 1 − (1 − <italic>L</italic>)<sup>null</sup>. We first derive conditions in terms of the coefficients for the model to generate processes...