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.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.