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Solution to Problem Posed in Volume 20(3): 04.3.1. An I(2) Model for VAR(1) Processes—Solution
Published online by Cambridge University Press: 22 April 2005
Extract
Let α* be any basis of col(Π) and β* be any basis of col(Π′); we note col(α⊥) = col(α*⊥), col(β⊥) = col(β*⊥) so no distinction is made between α⊥ and α*⊥, β⊥ and β*⊥ in the following discussion.
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Footnotes
An excellent partial
solution based on a state space representation has been independently
proposed by Dietmar Bauer, Vienna University of Technology
(Austria).
References
REFERENCES
Johansen, S.
(1992)
A representation of vector autoregressive processes integrated of
order 2.
Econometric Theory
8,
188–202.Google Scholar
Johansen, S.
(1996)
Likelihood-Based Inference in Cointegrated Vector Auto-Regressive
Models.
Oxford University Press.
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