Multivariate Time Series: A Polynomial Error Correction Representation Theorem
- 1 June 1993
- journal article
- Published by Cambridge University Press (CUP) in Econometric Theory
- Vol. 9 (3) , 329-342
- https://doi.org/10.1017/s0266466600007696
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.Keywords
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