The integration order of vector autoregressive processes

被引：6
|
作者：
Franchi, Massimo [1 ]
机构：
[1] Univ Roma La Sapienza, Dipartimento Sci Farmaceut, I-00161 Rome, Italy
来源：
ECONOMETRIC THEORY | 2007年 / 23卷 / 03期
关键词：
D O I：
10.1017/S0266466607070259
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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, Likelihood-Based Inference in Cointegrated Vector Auto-Regressive Models) is proved.
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页码：546 / 553
页数：8
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