Autori
Johansen, Soren
Engsted, Tom

Titolo
Granger's representation theorem and multicointegration
Periodico
European University Institute of Badia Fiesolana (Fi). Department of Economics - Working papers
Anno: 1997 - Fascicolo: 15 - Pagina iniziale: 1 - Pagina finale: 13

We consider multicointegration in the sense of Granger and Lee (1990), that is, the cumulated equilibrium error cointegrates with the process itself. It is shown, that if the process is given by the cointegrated VAR model for 7(1) variables, then multicointegration cannot occur. If, however, the cumulated process satisfies an 7(2) model then multicointegration may occur. Finally conditions are given on the moving average representation for the process to exhibit multicointegration. This result generalizes the analysis of Granger and Lee.



Testo completo: http://hdl.handle.net/1814/624

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