MULTIVARIATE TIME-SERIES - A POLYNOMIAL ERROR-CORRECTION REPRESENTATION THEOREM

被引：15

作者：

GREGOIR, S

LAROQUE, G

机构：

来源：

ECONOMETRIC THEORY | 1993年 / 9卷 / 03期

关键词：

D O I：

10.1017/S0266466600007696

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We consider a class of multivariate processes which, when differenced enough, yield covariance stationary processes whose determinants of the Wold representation have 1 as their only root on the unit circle. A representation theorem is proved for this class of processes that generalizes the Granger representation theorem.

引用

页码：329 / 342

页数：14

共 14 条

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