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.
Keywords
Autoregressive modelMathematicsSTAR modelRepresentation (politics)Interpretation (philosophy)SETARApplied mathematicsNonlinear autoregressive exogenous modelRepresentation theoremOrder (exchange)EconometricsAutoregressive integrated moving averageStatisticsPure mathematicsTime seriesComputer science
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Publication Info
- Year
- 1992
- Type
- article
- Volume
- 8
- Issue
- 2
- Pages
- 188-202
- Citations
- 332
- Access
- Closed
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Cite This
Søren Johansen
(1992).
A Representation of Vector Autoregressive Processes Integrated of Order 2.
Econometric Theory
, 8
(2)
, 188-202.
https://doi.org/10.1017/s0266466600012755
Identifiers
- DOI
- 10.1017/s0266466600012755