An alternative proof of Granger’s Representation Theorem forI(1) systems through Jordan matrices

DOI10.1007/BF03178924zbMath1454.62472OpenAlexW2058193870MaRDI QIDQ5123750

Fragiskos Archontakis

Publication date: 29 September 2020

Published in: Journal of the Italian Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf03178924

zbMATH Keywords

Jordan matricesVAR systemsintegrated seriesGranger's representation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items

A general inversion theorem for cointegration

Cites Work

• Representations of \(I(2)\) cointegrated systems using the Smith-McMillan form
• Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
• Dynamic Econometrics
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
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