Autore
Archontakis, Fragiskos

Titolo
Jordan Matrices on thè Equivalerle of thè 1(1) Conditions for VAR Systems
Periodico
European University Institute of Badia Fiesolana (Fi). Department of Economics - Working papers
Anno: 1999 - Fascicolo: 12 - Pagina iniziale: 1 - Pagina finale: 27

The Jordan Form of thè VAR's Companion matrix is used for proving thè equivalence between thè statement that there are no Jordan blocks of order two or higher in thè Jordan matrix and thè conditions of Granger's Representation Theorem for an 7(1) series. Furthermore, a Diagonal polynomial matrix containing thè unit roots associated to thè VAR System is derived and related to Granger's Representation Theorem



Testo completo: http://www.iue.it/ECO/WP-Texts/ECO99-12.pdf

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