Aarhus University Seal / Aarhus Universitets segl

On non-stationary solutions to MSDDEs: representations and the cointegration space

Publikation: Bidrag til tidsskrift/Konferencebidrag i tidsskrift /Bidrag til avisTidsskriftartikelForskningpeer review

Links

DOI

  • Mikkel Slot Nielsen
In this paper we study solutions to multivariate stochastic delay differential equations (MSDDEs) and their relation to the discrete-time cointegrated VAR model. In particular, we observe that an MSDDE can always be written in an error correction form and, under suitable conditions, we argue that a process with stationary increments is a solution to the MSDDE if and only if it admits a certain Granger type representation. A direct implication of these results is a complete characterization of the cointegration space. Finally, the relation between MSDDEs and invertible multivariate CARMA equations is used to introduce the cointegrated MCARMA processes.
OriginalsprogEngelsk
TidsskriftStochastic Processes and Their Applications
Vol/bind130
Nummer5
Sider (fra-til)3154-3173
Antal sider20
ISSN0304-4149
DOI
StatusUdgivet - maj 2020

Se relationer på Aarhus Universitet Citationsformater

ID: 167679536