Companion form representation of cointegrating VARs
AbstractIn this paper the issues deriving from the companion form representation of a cointegrating Vector Autoregressive system are analysed. Spectral decomposition of the companion matrix makes it possible to derive several results (including the Granger representation theorem) in a unified framework; notably, the coefficient matrices of the VMA representation are represented in such a way that long- and short-run features of the model are clearly divided. Moreover, the method proposed lends itself quite naturally to software implementations that could improve cointegrated VAR-related algorithms by avoiding recursive formulae.
How to Cite
Lucchetti, R. (1996). Companion form representation of cointegrating VARs. Statistica, 56(3), 361–375. https://doi.org/10.6092/issn.1973-2201/1037
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