The Integration Order of Vector Autoregressive Processes

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    Final published version, 172 KB, PDF document

  • Massimo Franchi
We show that the order of integration of a vector autoregressive process is equal to the difference between the multiplicity of the unit root in the characteristic equation and the multiplicity of the unit root in the adjoint matrix polynomial. The equivalence with the standard I(1) and I(2) conditions (Johansen, 1996) is proved and polynomial cointegration discussed in the general setup.
Original languageEnglish
Place of PublicationCph.
PublisherDepartment of Economics, University of Copenhagen
Number of pages10
Publication statusPublished - 2006

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