Granger's representation theorem: A closed‐form expression for I(1) processes

DOI10.1111/j.1368-423X.2005.00149.xzbMath1089.91065OpenAlexW3125244195MaRDI QIDQ5706716

Peter Reinhard Hansen

Publication date: 21 November 2005

Published in: The Econometrics Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1368-423x.2005.00149.x

zbMATH Keywords

cointegrationimpulse responses

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

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Cites Work

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• Statistical analysis of cointegration vectors
• Impulse response analysis of cointegrated systems
• Trend stationarity in the \(I(2)\) cointegration model.
• Impulse response analysis in infinite order cointegrated vector autoregressive processes
• Impulse response and forecast error variance asymptotics in nonstationary VARs
• Structural changes in the cointegrated vector autoregressive model
• An algebraic interpretation of cointegration
• Cointegration analysis in the presence of structural breaks in the deterministic trend
• The Asymptotic Distribution of Unit Root Tests of Unstable Autoregressive Processes
• Bootstrapping Autoregressive Processes with Possible Unit Roots