10
References
Ahn, S. & C. Reinsel (1990) Estimation for partially nonstationary
multivariate autoregressive models. Journal of the American Statis-
tical Association 85, 813-23.
Archontakis, F. (1998) An alternative proof of Granger’s represen-
tation theorem for I(1) systems through Jordan matrices. Journal of
the Italian Statistical Society 7, 111-127.
Bauer, D. & M. Wagner (2003) A Canonical Form for Unit Root
Processes in the State Space Framework. Discussion paper, Univer-
sity of Bern.
Engle, R. & C. Granger (1987) Co-integration and Error Cor-
rection: Representation, Estimation, and Testing. Econometrica 55,
251-276.
Engle, R. & S. Yoo (1991) Cointegrated economic time series: an
overview with new results. In Engle and Granger (ed.) Long-run Eco-
nomic Relations: Readings in Cointegration. Oxford: Oxford Univer-
sity Press.
Gregoire, S. (1999) Multivariate time series with various hidden unit
roots, Part I, Integral operator algebra and representation theorem.
Econometric Theory 15, 435-468.
Gregoire, S. & G. Laroque (1993) Multivariate integrated time
series: a polynomial error correction representation theorem. Econo-
metric Theory 9, 329-342.
Haldrup, N. & M. Salomon (1998) Representation of I(2) cointe-
grated systems using the Smith-McMillan form. Journal of Econo-
metrics 44, 303-325.
Johansen, S. (1988) The mathematical structure of error correction
models. Contemporary Mathematics 80, 359-386.
Johansen, S. (1992) A representation of vector autoregressive pro-
cesses integrated of order 2. Econometric Theory 8, 188-202.
Johansen, S. (1996) Likelihood-based Inference in Cointegrated Vec-
tor Auto-Regressive Models. Oxford: Oxford University Press.
Johansen, S. (2005a) Representation of cointegrated autoregressive
process with application to fractional process. Manuscript, Univer-
sity of Copenhagen.
Johansen, S. (2005b) A representation theory for fractional autore-
gressive processes. Manuscript, University of Copenhagen.
la Cour, L. (1998) A parametric characterization of integrated vector
autoregressive (VAR) processes. Econometric Theory 14, 187-199.
Neusser, K. (2000) An algebraic interpretation of cointegration. Eco-
nomics Letters 67, 273-281.
Paruolo, P. (1996) On the determination of integration indices in
I(2) systems. Journal of Econometrics 72, 313-356.
More intriguing information
1. BARRIERS TO EFFICIENCY AND THE PRIVATIZATION OF TOWNSHIP-VILLAGE ENTERPRISES2. The name is absent
3. The Impact of Minimum Wages on Wage Inequality and Employment in the Formal and Informal Sector in Costa Rica
4. Climate change, mitigation and adaptation: the case of the Murray–Darling Basin in Australia
5. The name is absent
6. Two-Part Tax Controls for Forest Density and Rotation Time
7. SME'S SUPPORT AND REGIONAL POLICY IN EU - THE NORTE-LITORAL PORTUGUESE EXPERIENCE
8. Declining Discount Rates: Evidence from the UK
9. THE UNCERTAIN FUTURE OF THE MEXICAN MARKET FOR U.S. COTTON: IMPACT OF THE ELIMINATION OF TEXTILE AND CLOTHING QUOTAS
10. The name is absent