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1996•Oxford Bulletin of Economics and StatisticsRequires access

PRACTITIONERS' CORNER:Triangular Representation and Error Correction Mechanism in Cointegrated Systems

Nunzio Cappuccio, Diego Lubian

Open publisher page 8 citations

Abstract

ABSTRACT 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.

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What this paper is about

ABSTRACT 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.

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Available abstract

ABSTRACT 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.

Key concepts: Representation (politics), Mathematical proof, Representation theorem, Mathematics, Applied mathematics, Algebra over a field, Pure mathematics, Geometry

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