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A Representation of Vector Autoregressive Processes Integrated of Order 2

Published online by Cambridge University Press:  18 October 2010

Søren Johansen
Søren Johansen
Affiliation:
University of Copenhagen
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Abstract

We investigate vector autoregressive processes and find the condition under which the processes are I(2). A representation theorem forsuch processes is proved and the interpretation of the AR model as an error correction model is discussed.

Type
Articles
Information
Econometric Theory , Volume 8 , Issue 2 , June 1992 , pp. 188 - 202
Copyright
Copyright © Cambridge University Press 1992

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References

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