This article uses algebraic arguments to cast light on the solution of vector autoregressive models in the presence of unit roots. First, the linear case and then the multi-lag specification are investigated. Clear-cut representations of the model solutions are obtained, closed-form expressions of the coefficient matrices are provided, and integration features and cointegration mechanisms for stationarity recovery are elucidated.

Zoia, M., Barbieri, L., A short-cut derivation for the solution of autoregressive models for sharp algebraic arguments, <<COMMUNICATIONS IN STATISTICS. THEORY AND METHODS>>, 2012; (41): 3704-3721. [doi:10.1080/03610926.2011.566977] [http://hdl.handle.net/10807/29516]

A short-cut derivation for the solution of autoregressive models for sharp algebraic arguments

Zoia, Maria;Barbieri, Laura
2012

Abstract

This article uses algebraic arguments to cast light on the solution of vector autoregressive models in the presence of unit roots. First, the linear case and then the multi-lag specification are investigated. Clear-cut representations of the model solutions are obtained, closed-form expressions of the coefficient matrices are provided, and integration features and cointegration mechanisms for stationarity recovery are elucidated.
2012
Inglese
Zoia, M., Barbieri, L., A short-cut derivation for the solution of autoregressive models for sharp algebraic arguments, <<COMMUNICATIONS IN STATISTICS. THEORY AND METHODS>>, 2012; (41): 3704-3721. [doi:10.1080/03610926.2011.566977] [http://hdl.handle.net/10807/29516]
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10807/29516
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