Cointegrated Solutions of Unit-Root VARs: An Extended Representation Theorem
Econometrics
2021-02-23 v1
Abstract
This paper establishes an extended representation theorem for unit-root VARs. A specific algebraic technique is devised to recover stationarity from the solution of the model in the form of a cointegrating transformation. Closed forms of the results of interest are derived for integrated processes up to the 4-th order. An extension to higher-order processes turns out to be within the reach on an induction argument.
Cite
@article{arxiv.2102.10626,
title = {Cointegrated Solutions of Unit-Root VARs: An Extended Representation Theorem},
author = {Mario Faliva and Maria Grazia Zoia},
journal= {arXiv preprint arXiv:2102.10626},
year = {2021}
}