SOME REPARAMETERIZATIONS OF LAG POLYNOMIALS FOR DYNAMIC ANALYSIS |
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Authors: | Simon P. Burke |
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Abstract: | ABSTRACT Various reparameterizations of scalar polynomials are considered in the context of lag polynomials. These are used to explore possibilities of testing for stationary autoregressive roots, repeated roots, and polynomial factors of given form. Multivariate generalizations of these results are then applied to VAR models and to comovement between the component series of such systems. The link between the representation of unitroots in the univariate case and cointegration in multivariate systems is demonstrated. |
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