The Johansen-Granger Representation Theorem: An Explicit Expression for I(1) Processes

Peter Reinhard Hansen, University of California, San Diego and Brown University

UCSD Economics Discussion Paper 2000-17
July 2000

Abstract

The Johansen-Granger representation theorem for the cointegrated vector autoregressive process is derived using the companion form. This approach yields an explicit representation of all coefficients and initial values. This result is useful for impulse response analysis, common feature analysis and asymptotic analysis of cointegrated processes.


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