A Representation of Vector Autoregressive Processes Integrated of Order 2

作者：Søren Johansen · 发表于：Econometric Theory · 年份：1992 · DOI：10.1017/s0266466600012755 · 被引用次数：333 · 研究领域：Monetary Policy and Economic Impact、Statistical Methods and Inference、Control Systems and Identification

We investigate vector autoregressive processes and find the condition under which the processes areI(2). A representation theorem forsuch processes is proved and the interpretation of the AR model as an error correction model is discussed.