A REPRESENTATION THEORY FOR POLYNOMIAL COFRACTIONALITY IN VECTOR AUTOREGRESSIVE MODELS

B-Tier
Journal: Econometric Theory
Year: 2010
Volume: 26
Issue: 4
Pages: 1201-1217

Score contribution per author:

2.011 = (α=2.01 / 1 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

We extend the representation theory of the autoregressive model in the fractional lag operator of Johansen (2008, Econometric Theory 24, 651–676). A recursive algorithm for the characterization of cofractional relations and the corresponding adjustment coefficients is given, and it is shown under which condition the solution of the model is fractional of order d and displays cofractional relations of order d − b and polynomial cofractional relations of order d − 2b,…, d − cb ≥ 0 for integer c; the cofractional relations and the corresponding moving average representation are characterized in terms of the autoregressive coefficients by the same algorithm. For c = 1 and c = 2 we find the results of Johansen (2008).

Technical Details

RePEc Handle
repec:cup:etheor:v:26:y:2010:i:04:p:1201-1217_99
Journal Field
Econometrics
Author Count
1
Added to Database
2026-01-25