MULTIVARIATE TIME SERIES WITH VARIOUS HIDDEN UNIT ROOTS,PART I
研究了一类多变量过程，通过差分可转化为协方差平稳过程，其Wold表示中矩阵序列的行列式具有多种不同阶数的单位根，并给出了包含不同频率误差修正项的多项式表示定理和识别准则。
Following the approach proposed by Gregoir and Laroque (1993, Econometric Theory 9, 329–342), we consider a class of multivariate processes that, when differenced enough, yields covariance stationary processes whose determinant of the matrix series associated with their Wold representation has various unit roots with various orders of multiplicity we restrict to be integers. A representation theorem is provided that involves different polynomial error correction terms at each frequency associated with each unit root. An identification criterion for each set of error correction terms is proposed.