The Algebraic Framework of Unit-Root Econometrics

Time series econometrics is centred around the representation theorems from which one can establish the integration and cointegration characteristics of the solutions for the vector autoregressive (VAR) models.

Such theorems, along the path established by Engle and Granger and by Johansen and his school, have brought about a parallel development of an ad hoc analytical implementation, although not yet quite satisfactory. The present chapter, by reworking and expanding some recent contributions due to Faliva and Zoia, systematically provides an algebraic setting based upon several interesting results on inversion by parts and on Laurent series expansion for the reciprocal of a matrix polynomial in a deleted neighbourhood of a unitary root. Rigorous and efficient, such a technique allows for a quick and new reformulation of the representation theorems as it will become clear in Chap. 3.

Keywords

Unit Root Matrix Function Simple Pole Matrix Polynomial Order Pole 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

Copyright information

© Springer-Verlag Berlin Heidelberg 2009

Personalised recommendations