A General Representation Theorem for Integrated Vector Autoregressive Processes

Abstract

We study the algebraic structure of an I(d) vector autoregressive process, where d is restricted to be an integer. This is useful to characterize its polynomial cointegrating relations and its moving average representation, that is to prove a version of the Granger representation theorem valid for I(d) vector autoregressive processes.vector autoregressive processes; unit roots; Granger representation theorem; cointegration