Cointegration and Representation of Integrated Variables

Søren Johansen

in Likelihood-Based Inference in Cointegrated Vector Autoregressive Models

Published in print December 1995 | ISBN: 9780198774501
Published online November 2003 | e-ISBN: 9780191596476 | DOI:

Series: Advanced Texts in Econometrics

 							Cointegration and Representation of Integrated Variables

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Contains the mathematical and algebraic results needed to understand the properties of I(1) and I(2) processes generated by autoregressive and moving average models. The basic result is Grangers representation theorem, which gives necessary and sufficient conditions on the coefficients of the autoregressive model for the process to be integrated of order 1 and 2. We introduce the error correction model for I(1) and I(2) processes.

Keywords: autoregressive model; error correction model; Granger representation theorem; I(1) process; I(2) process; moving average model

Chapter.  12850 words. 

Subjects: Econometrics and Mathematical Economics

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