Granger’s Representation Theorem and Multicointegration

Abstract

Abstract Since Engle and Granger’s (1987) seminal paper the concept of cointegration has developed progressively in several ways, and many extensions of the basic concept have been made. One such extension is the definition of multicointegration which refers to the case where the cumulation of equilibrium errors cointegrates with the original I( 1) variables of the system. Such situations arise naturally in economic models involving stock flow relationships.

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