Mario Faliva, Maria Grazia Zoia
arXiv 21 Feb 2021 · Econometrics · 1 citations (OpenAlex)
arXiv:2102.10626 · PDF · DOI · OpenAlex · Extracted main text
This paper establishes an extended representation theorem for unit-root VARs. A specific algebraic technique is devised to recover stationarity from the solution of the model in the form of a cointegrating transformation. Closed forms of the results of interest are derived for integrated processes up to the 4-th order. An extension to higher-order processes turns out to be within the reach on an induction argument.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Faliva, M. and Zoia, M. G (2009) Dynamic model analysis: advanced matrix methods and unit-root econometrics representation theorems self | 0.928 | 5 | 4 | 80% |
| 2 | Dhrymes, P (1971) Distributed lags: problems of formulation and estimation | 0.644 | 2 | 2 | 100% |
| 3 | Franchi, M. and Paruolo, P (2019) A general inversion theorem for cointegration | 0.511 | 2 | 1 | 100% |
| 4 | Avrachenkov, K. E., Haviv, M., and Howlett, P. G (2001) Inversion of analytic matrix functions that are singular at the origin | 0.405 | 1 | 1 | 100% |
| 5 | Banerjee, A., Dolado, J. J., Galbraith, J. W., Hendry, D., et al (1993) Co-integration, error correction, and the econometric analysis of non-stationary data | 0.405 | 1 | 1 | 100% |
| 6 | Beare, B. K., Seo, J., and Seo, W.-K (2017) Cointegrated linear processes in Hilbert space | 0.405 | 1 | 1 | 100% |
| 7 | Beare, B. K. and Seo, W.-K (2019) Representation of i (1) and i (2) autoregressive hilbertian processes | 0.405 | 1 | 1 | 100% |
| 8 | Engle, R. F. and Granger, C. W (1987) Cointegration and error correction: representation and error correction | 0.405 | 1 | 1 | 100% |
| 9 | Engle, R. and Yoo, B (1991) Cointegrated economic time series: An overview with new results. in engle and granger., eds | 0.405 | 1 | 1 | 100% |
| 10 | Faliva, M. and Zoia, M. G (2002) On a partitioned inversion formula having useful applications in econometrics self | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 33 scored citations.