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

Research output: Contribution to journalJournal article

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
Original languageEnglish
JournalEconometric Theory
Volume24
Issue number3
Pages (from-to)651-676
Number of pages26
ISSN0266-4666
DOIs
Publication statusPublished - 2008

ID: 4142039