04.3.1 An I(2) Model for VAR(1) Processes
讨论了VAR(1)过程中的I(2)模型，证明Johansen的I(2)表示定理对VAR(1)也成立，并给出与高阶VAR不同的参数化方法。
This problem discusses an I (2) model in the VAR(1) case. The I (2) representation theorem of Johansen (1992) (JRT) holds also for VAR(1) processes. The I (2) model for VAR( k ) processes has been discussed for k ≥ 2 in Johansen (1996, Ch. 9; 1997). We here discuss a parametrization for the I (2) case of VAR(1) that differs from the VAR( k ) model.