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Solution to Problem Posed in Volume 20(3): 04.3.1. An I(2) Model for VAR(1) Processes—Solution

Published online by Cambridge University Press:  22 April 2005

Paolo Paruolo
Paolo Paruolo
Affiliation:
University of Insubria, Varese, Italy
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Extract

Let α* be any basis of col(Π) and β* be any basis of col(Π′); we note col(α⊥) = col(α*⊥), col(β⊥) = col(β*⊥) so no distinction is made between α⊥ and α*⊥, β⊥ and β*⊥ in the following discussion.

Type
SOLUTION TO PROBLEM
Information
Econometric Theory , Volume 21 , Issue 3 , June 2005 , pp. 665 - 666
Copyright
© 2005 Cambridge University Press

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Footnotes

An excellent partial solution based on a state space representation has been independently proposed by Dietmar Bauer, Vienna University of Technology (Austria).

References

REFERENCES

Johansen, S. (1992) A representation of vector autoregressive processes integrated of order 2. Econometric Theory 8, 188–202.Google Scholar
Johansen, S. (1996) Likelihood-Based Inference in Cointegrated Vector Auto-Regressive Models. Oxford University Press.