Tools
Tools
Gregoir, Stéphane
and Laroque, Guy
(1993)
Multivariate Time Series: A General Error Correction Representation Theorem.
Econometric Theory, vol. 9 (n° 3).
pp. 329-342.
Official URL : http://tse-fr.eu/pub/30110
Identification Number : 10.1017/S0266466600007696
Abstract
We consider a class of multivariate processes which, when differenced enough, yield covariance stationary processes whose determinants of the Wold representation have I as their only root on the unit circle. A representation theorem is proved for this class of processes that generalizes the Granger representation theorem
| Item Type: | Article |
|---|---|
| Sub-title: | A General Error Correction Representation Theorem |
| Language: | English |
| Date: | June 1993 |
| Refereed: | Yes |
| Subjects: | B- ECONOMIE ET FINANCE |
| Divisions: | TSE-R (Toulouse) |
| Site: | UT1 |
| Date Deposited: | 12 Feb 2016 14:50 |
| Last Modified: | 02 Apr 2021 15:51 |
| OAI Identifier: | oai:tse-fr.eu:30110 |
| URI: | https://publications.ut-capitole.fr/id/eprint/19435 |
