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Multivariate Time Series: A Polynomial Error Correction Representation Theorem

Published online by Cambridge University Press:  11 February 2009

Stéphane Gregoir  and
Guy Laroque
Stéphane Gregoir
Affiliation:
Institut National de la Statistique et des Etudes Economiques
Guy Laroque
Affiliation:
Institut National de la Statistique et des Etudes Economiques
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Abstract

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

Type
Articles
Information
Econometric Theory , Volume 9 , Issue 3 , June 1993 , pp. 329 - 342
Copyright
Copyright © Cambridge University Press 1993

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