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  Advances and Applications in Statistics  
 ISSN: 0972-3617
 
 
 

     Advances and Applications in Statistics
    Volume 12, Issue 1, Pages 37 - 66 (June 2009)


A UNIFIED REPRESENTATION THEOREM ON NEW ALGEBRAIC BASES, FOR (CO)INTEGRATED PROCESSES UP TO THE SECOND ORDER

Maria Grazia Zoia (Italy)

Received October 29, 2008

References:



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[7] R. F. Engle and S. B. Yoo, Cointegrated economic time series: an overview with new results, Long-run Economic Relationships: Readings in Cointegration, R. F. Engle and C. W. J. Granger, eds., Oxford University Press, Oxford, 1991.

[8] M. Faliva, La Stima Puntuale nel Modello di Regressione Lineare, Vita e Pensiero, Milano, 1974.

[9] M. Faliva and M. G. Zoia, On a partitioned inversion formula having useful applications in econometrics, Econometric Theory 18 (2002a), 525-530.

[10] M. Faliva and M. G. Zoia, Matrix polynomials and their inversion: the algebraic framework of unit-root econometrics representation theorems, Statistica 62 (2002b), 187-202.

[11] M. Faliva and M. G. Zoia, A new proof of the representation theorem for I(2) processes, J. Interdisciplinary Math. 6 (2003), 331-347.

[12] M. Faliva and M. G. Zoia, Topics in dynamic model analysis, Lecture Notes in Economics and Mathematical Systems, Springer Verlag, Berlin, 2006.

[13] S. Gregoir, Multivariate time series with various hidden unit roots, Part I. Integral operator algebra and representation theory, Econometric Theory 15(4) (1999), 435-468.

[14] N. Haldrup and M. Salmon, Representations of I(2) cointegrated systems using the Smith-McMillan form, J. Econometrics 84 (1998), 303-325.

[15] P. R. Hansen, Granger’s representation theorem: a closed-form expression for I(1) processes, Econometrics J. 8 (2005), 23-38.

[16] S. Johansen, A representation of vector autoregressive processes integrated of order 2, Econometric Theory 8 (1992), 188-202.

[17] S. Johansen, Likelihood-based Inference in Cointegrated Vector Autoregressive Models, 2nd ed., Oxford University Press, Oxford, 1996.

[18] S. Johansen, Likelihood analysis of the I(2) model, Scandinavian J. Stat. 24 (1997), 433-462.

[19] G. Marsaglia and G. P. H. Styan, Equalities and inequalities for ranks of matrices, Linear and Multilinear Algebra 2 (1974), 269-292.

[20] C. R. Rao and S. K. Mitra, Generalized Inverse of Matrices and its Applications, Wiley, New York, 1971.

Keywords and phrases: unified representation theorem, cointegration, orthogonal-complement algebra, Laurent expansion in matrix form.

 


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