Granger’s Representation Theorem : A Closed-Form Expression for I (1) Processes  

Oleh:

Hansen, Peter Reinhard

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Econometrics Journal vol. 8 no. 1 (2005), page 23-38.
Topik: representation; cointegration; granger representation; impulse responses
Fulltext: 23.pdf (149.19KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: EE39.1 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

The Granger representation theorem states that a cointegrated vector autoregressive process can be decomposed into four components : a random walk, a stationary process, a deterministic part, and a term that depends on the initial values. In this paper, we present a new proof of the theorem. This proof enables us to derive closed - form expressions of all terms of the representation and allows a unified treatment of models with different deterministic specifications. The applicability of our results is illustrated by examples. For example, the closed - form expressions are useful for impulse response analyses and facilitate the analysis of cointegration models with structural changes.

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