Gregoir, Stéphane and Laroque, Guy (1993) Multivariate Time Series: A General Error Correction Representation Theorem. Econometric Theory, vol. 9 (n° 3). pp. 329-342.
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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 |
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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 |