Multivariate Time Series: A Polynomial Error Correction Representation Theorem

B-Tier
Journal: Econometric Theory
Year: 1993
Volume: 9
Issue: 3
Pages: 329-342

Score contribution per author:

1.005 = (α=2.01 / 2 authors) × 1.0x B-tier

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

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.

Technical Details

RePEc Handle
repec:cup:etheor:v:9:y:1993:i:03:p:329-342_00
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-25