PRACTITIONERS' CORNER:Triangular Representation and Error Correction Mechanism in Cointegrated Systems
从Phillips的三角表示出发，证明了Granger表示定理，并解析推导了MA和AR表示与三角系统参数的关系，对研究协整系统的学者有参考价值。
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.