A Representation of Vector Autoregressive Processes with Common Cycles
نویسندگان
چکیده
VECTOR AUTOREGRESSIVE PROCESSES WITH COMMON CYCLES MASSIMO FRANCHI & PAOLO PARUOLO JANUARY 7, 2009 Abstract. We give necessary and su cient conditions on the autoregressive polynomial for the existence of (possibly polynomial-) serial correlation common features as well as for other forms of common cycles. We characterize the resulting moving average representations. These conditions allow to de ne the restrictions on the VAR parameters that correspond to various form of common dynamics. Results are stated for stationary VAR processes and we indicate how they directly extend to cointegrated VAR systems integrated of order 1 and 2.
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