A REPRESENTATION OF VECTOR AUTOREGRESSIVE PROCESSES INTEGRATED OF ORDER-2

被引：110

作者：

JOHANSEN, S

机构：

来源：

ECONOMETRIC THEORY | 1992年 / 8卷 / 02期

关键词：

D O I：

10.1017/S0266466600012755

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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

引用

页码：188 / 202

页数：15

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