The Mathematical Structure of Error Correction Models.
The Mathematical Structure of Error Correction Models.
复制标题
纠错模型的数学结构。
DOI：
10.1090/conm/080/999021
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发表时间：
1985
影响因子：
1.5
通讯作者：
S. Johansen
中科院分区：
文献类型：
--
作者：
S. Johansen
摘要：Sargan (1964)、Davidson 等人的论文提出了向量值时间序列的误差修正模型并在经济文献中得到应用。 (1978)、Hendry 和 von Ungern-Sternberg (1981)，并由 Granger (1983) 进行了正式的数学处理。他引入了向量过程协整性的概念，并展示了协整与误差校正模型之间的关系。本文定义了一种通用误差校正模型，它包含通常的误差校正模型以及积分校正模型，允许有限数量的误差校正项，这些误差校正项对应于不同阶积分的向量过程的线性组合。结果表明，如果通过利用定义模型的矩阵函数的奇异性以自回归形式或移动平均形式给出，则该结构是模型固有的。该理论应用于 Davidson (1983) 和 Harvey (1982) 讨论的一些例子。 （作者）
Abstract : The error correction model for a vector valued time series has been proposed and applied in the economic literature with the papers by Sargan (1964), Davidson et al. (1978), Hendry and von Ungern-Sternberg (1981) and has been given a formal mathematical treatment by Granger (1983). He introduced the notion of cointegratedness of a vector process and showed the relation between cointegration and error correction models. This paper defines a general error correction model, that encompasses the usual error correction model as well as the integral correction model by allowing a finite number of error correction terms which correspond to linear combinations of the vector process that are integrated of different order. It is shown that this structure is inherent in the model if it is given in autoregressive form or moving average form by exploiting the singularity of the matrix function that defines the model. The theory is applied to some examples discussed by Davidson (1983) and Harvey (1982). (Author)