We extend the representation theory of the autorregressive model in the fractional lag operator of Johansen (2008, Econometric Theory 24, 651-676). A recursive algorithm for the characterization of cofractional relations and the corresponding adjustment coefficients is given, and it is shown under which condition the solution of the model is fractional of order d and displays cofractional relations of order d - b and polynomial cofractional relations of order d - 2b,..., d - cb >= 0 for integer c; the cofractional relations and the corresponding moving average representation are characterized in terms of the autoregressive coefficients by the same algorithm. For c = 1 and c = 2 we find the results of Johansen (2008).
A REPRESENTATION THEORY FOR POLYNOMIAL COFRACTIONALITY IN VECTOR AUTOREGRESSIVE MODELS / Franchi, Massimo. - In: ECONOMETRIC THEORY. - ISSN 0266-4666. - 26:4(2010), pp. 1201-1217. [10.1017/s0266466609990508]
A REPRESENTATION THEORY FOR POLYNOMIAL COFRACTIONALITY IN VECTOR AUTOREGRESSIVE MODELS
FRANCHI, Massimo
2010
Abstract
We extend the representation theory of the autorregressive model in the fractional lag operator of Johansen (2008, Econometric Theory 24, 651-676). A recursive algorithm for the characterization of cofractional relations and the corresponding adjustment coefficients is given, and it is shown under which condition the solution of the model is fractional of order d and displays cofractional relations of order d - b and polynomial cofractional relations of order d - 2b,..., d - cb >= 0 for integer c; the cofractional relations and the corresponding moving average representation are characterized in terms of the autoregressive coefficients by the same algorithm. For c = 1 and c = 2 we find the results of Johansen (2008).I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
