A PARAMETRIC CHARACTERIZATION OF INTEGRATED VECTOR AUTOREGRESSIVE (VAR) PROCESSES
提出一个多项式分解定理，将Johansen的参数化表示定理从I(2)过程推广到一般I(d)过程，并以I(3)过程为例讨论多项式协整性质。
This paper provides a polynomial factorization theorem that is then used to extend the characterization parts of the parametric representation theorems of Johansen (1992, Econometric Theory 8, 188–202) for vector autoregressive processes integrated of up to order 2. A characterization theorem is provided in the general case of an I ( d ) process. For the discussion of the complicated polynomial cointegration properties of such processes, the case of an I (3) process is considered as an example.