A representation theory for a class of vector autoregressive models for fractional processes

Research output: Contribution to journalJournal articlepeer-review

Standard

A representation theory for a class of vector autoregressive models for fractional processes. / Johansen, Søren.

In: Econometric Theory, Vol. 24, No. 3, 2008, p. 651-676.

Research output: Contribution to journalJournal articlepeer-review

Harvard

Johansen, S 2008, 'A representation theory for a class of vector autoregressive models for fractional processes', Econometric Theory, vol. 24, no. 3, pp. 651-676. https://doi.org/10.1017/S0266466608080274

APA

Johansen, S. (2008). A representation theory for a class of vector autoregressive models for fractional processes. Econometric Theory, 24(3), 651-676. https://doi.org/10.1017/S0266466608080274

Vancouver

Johansen S. A representation theory for a class of vector autoregressive models for fractional processes. Econometric Theory. 2008;24(3):651-676. https://doi.org/10.1017/S0266466608080274

Author

Johansen, Søren. / A representation theory for a class of vector autoregressive models for fractional processes. In: Econometric Theory. 2008 ; Vol. 24, No. 3. pp. 651-676.

Bibtex

@article{2a83c200273911dd98d5000ea68e967b,
title = "A representation theory for a class of vector autoregressive models for fractional processes",
abstract = "Based on an idea of Granger (1986), we analyze a new vector autoregressive model defined from the fractional lag operator 1-(1-L)^{d}. We first derive conditions in terms of the coefficients for the model to generate processes which are fractional of order zero. We then show that if there is a unit root, the model generates a fractional process X(t) of order d, d>0, for which there are vectors {\ss} so that {\ss}'X(t) is fractional of order d-b, 0",
keywords = "Faculty of Social Sciences",
author = "S{\o}ren Johansen",
year = "2008",
doi = "10.1017/S0266466608080274",
language = "English",
volume = "24",
pages = "651--676",
journal = "Econometric Theory",
issn = "0266-4666",
publisher = "Cambridge University Press",
number = "3",

}

RIS

TY - JOUR

T1 - A representation theory for a class of vector autoregressive models for fractional processes

AU - Johansen, Søren

PY - 2008

Y1 - 2008

N2 - Based on an idea of Granger (1986), we analyze a new vector autoregressive model defined from the fractional lag operator 1-(1-L)^{d}. We first derive conditions in terms of the coefficients for the model to generate processes which are fractional of order zero. We then show that if there is a unit root, the model generates a fractional process X(t) of order d, d>0, for which there are vectors ß so that ß'X(t) is fractional of order d-b, 0

AB - Based on an idea of Granger (1986), we analyze a new vector autoregressive model defined from the fractional lag operator 1-(1-L)^{d}. We first derive conditions in terms of the coefficients for the model to generate processes which are fractional of order zero. We then show that if there is a unit root, the model generates a fractional process X(t) of order d, d>0, for which there are vectors ß so that ß'X(t) is fractional of order d-b, 0

KW - Faculty of Social Sciences

U2 - 10.1017/S0266466608080274

DO - 10.1017/S0266466608080274

M3 - Journal article

VL - 24

SP - 651

EP - 676

JO - Econometric Theory

JF - Econometric Theory

SN - 0266-4666

IS - 3

ER -

ID: 4142039