A Representation of Vector Autoregressive Processes Integrated of Order 2

B-Tier
Journal: Econometric Theory
Year: 1992
Volume: 8
Issue: 2
Pages: 188-202

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 investigate vector autoregressive processes and find the condition under which the processes are I(2). A representation theorem forsuch processes is proved and the interpretation of the AR model as an error correction model is discussed.

Technical Details

RePEc Handle
repec:cup:etheor:v:8:y:1992:i:02:p:188-202_01
Journal Field
Econometrics
Author Count
1
Added to Database
2026-01-25