A new proof of the representation theorem for I(2) processes

Faliva, Mario; Zoia, Maria Grazia

doi:10.1080/09720502.2003.10700352

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Cited by 2 publications

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“…Several authors have investigated the problem of the inversion of a matrix polynomial about a pole (see e.g., Avrachenkov et al (2001), Faliva and Zoia (2002), Faliva and Zoia (2003), Faliva and Zoia (2009), Faliva and Zoia (2011), Langenhop (1971), Franchi and Paruolo (2019b)) ever since.…”

Section: Introductionmentioning

confidence: 99%

Cointegrated Solutions of Unit-Root VARs: An Extended Representation Theorem

Faliva¹,

Zoia²

2021

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This paper establishes an extended representation theorem for unit-root VARs. A specific algebraic technique is devised to recover stationarity from the solution of the model in the form of a cointegrating transformation. Closed forms of the results of interest are derived for integrated processes up to the 4-th order. An extension to higher-order processes turns out to be within the reach on an induction argument.

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