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PRACTITIONERS' CORNER:Triangular Representation and Error Correction Mechanism in Cointegrated Systems
Author(s) -
Cappuccio Nunzio,
Lubian Diego
Publication year - 1996
Publication title -
oxford bulletin of economics and statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.131
H-Index - 73
eISSN - 1468-0084
pISSN - 0305-9049
DOI - 10.1111/j.1468-0084.1996.mp58002011.x
Subject(s) - representation (politics) , mathematical proof , representation theorem , mathematics , algebra over a field , pure mathematics , geometry , law , politics , political science
In this paper we provide a proof of the ‘Granger representation theorem’ starting from Phillips' triangular representation of a cointegrated system. Proofs of the theorem have already been provided but starting either from the MA representation or from the AR representation. Conversely, we derive and characterize analytically the MA and the AR representations in terms of the parameters of the triangular system.