A REPRESENTATION THEORY FOR POLYNOMIAL COFRACTIONALITY IN VECTOR AUTOREGRESSIVE MODELS
扩展了Johansen(2008)在分数滞后算子中自回归模型的表示理论，给出了刻画共分整关系及调整系数的递归算法，并展示了模型解为分数阶d且具有共分整关系的条件。
We extend the representation theory of the autoregressive model in the fractional lag operator of Johansen (2008, Econometric Theory 24, 651–676). A recursive algorithm for the characterization of cofractional relations and the corresponding adjustment coefficients is given, and it is shown under which condition the solution of the model is fractional of order d and displays cofractional relations of order d − b and polynomial cofractional relations of order d − 2 b ,…, d − cb ≥ 0 for integer c ; the cofractional relations and the corresponding moving average representation are characterized in terms of the autoregressive coefficients by the same algorithm. For c = 1 and c = 2 we find the results of Johansen (2008).