{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,7,3]],"date-time":"2026-07-03T22:54:44Z","timestamp":1783119284157,"version":"3.54.6"},"reference-count":16,"publisher":"Cambridge University Press (CUP)","issue":"2","license":[{"start":{"date-parts":[[2010,10,18]],"date-time":"2010-10-18T00:00:00Z","timestamp":1287360000000},"content-version":"unspecified","delay-in-days":6713,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[1992,6]]},"abstract":"<jats:p>We investigate vector autoregressive processes and find the condition under which the processes are<jats:italic>I<\/jats:italic>(2). A representation theorem forsuch processes is proved and the interpretation of the AR model as an error correction model is discussed.<\/jats:p>","DOI":"10.1017\/s0266466600012755","type":"journal-article","created":{"date-parts":[[2010,10,18]],"date-time":"2010-10-18T09:12:04Z","timestamp":1287393124000},"page":"188-202","source":"Crossref","is-referenced-by-count":143,"title":["A Representation of Vector Autoregressive Processes Integrated of Order 2"],"prefix":"10.1017","volume":"8","author":[{"given":"S\u00f8ren","family":"Johansen","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"56","published-online":{"date-parts":[[2010,10,18]]},"reference":[{"key":"S0266466600012755_ref016","unstructured":"16. Yoo B.S. Multi-cointegrated time series and a generalized error-correction model. UCSD Discussion paper (1986)."},{"key":"S0266466600012755_ref015","volume-title":"Econometric analysis for national eco nomic planning","author":"Sargan","year":"1964"},{"key":"S0266466600012755_ref007","unstructured":"7. Gregoir S. & Laroque G. . Multivariate integrated time series: A general error correction representation with associated estimation and test procedures. INSEE Discussion paper (1990)."},{"key":"S0266466600012755_ref006","doi-asserted-by":"publisher","DOI":"10.1002\/jae.3950040508"},{"key":"S0266466600012755_ref009","doi-asserted-by":"publisher","DOI":"10.1090\/conm\/080\/999021"},{"key":"S0266466600012755_ref002","doi-asserted-by":"publisher","DOI":"10.2307\/1913236"},{"key":"S0266466600012755_ref004","volume-title":"Cointegrated variables and error correction models","author":"Granger","year":"1983"},{"key":"S0266466600012755_ref011","doi-asserted-by":"publisher","DOI":"10.2307\/2938278"},{"key":"S0266466600012755_ref001","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9892.1991.tb00067.x"},{"key":"S0266466600012755_ref005","volume-title":"Advances in econometrics: Cointegration, spurious regressions and unit roots","author":"Granger","year":"1991"},{"key":"S0266466600012755_ref012","unstructured":"12. Johansen S. A statistical analysis of cointegration for 1(2) variables. To appear in Econometric Theory (1992)."},{"key":"S0266466600012755_ref014","doi-asserted-by":"publisher","DOI":"10.2307\/2938258"},{"key":"S0266466600012755_ref013","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(92)90086-7"},{"key":"S0266466600012755_ref008","volume-title":"Essays in the theory and measurement of consumers' be-haviour","author":"Hendry","year":"1981"},{"key":"S0266466600012755_ref010","unstructured":"10. Johansen S. An algorithm for estimating the cointegrating relations in a vector autoregres-sive process allowing for I(2) variables. Preprint, University of Copenhagen (1990)."},{"key":"S0266466600012755_ref003","doi-asserted-by":"crossref","DOI":"10.1093\/oso\/9780198283393.001.0001","volume-title":"Long-run economic relationships, readings in cointegration","author":"Engle","year":"1991"}],"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0266466600012755","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,3,31]],"date-time":"2024-03-31T13:23:31Z","timestamp":1711891411000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0266466600012755\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[1992,6]]},"references-count":16,"journal-issue":{"issue":"2","published-print":{"date-parts":[[1992,6]]}},"alternative-id":["S0266466600012755"],"URL":"https:\/\/doi.org\/10.1017\/s0266466600012755","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[1992,6]]}}}