THE INTEGRATION ORDER OF VECTOR AUTOREGRESSIVE PROCESSES

We show that the order of integration of a vector autoregressive process is equal to the difference between the multiplicity of the unit root in the characteristic equation and the multiplicity of the unit root in the adjoint matrix polynomial+ The equivalence with the standard I~1! and I~2! conditions ~Johansen, 1996, Likelihood-Based Inference in Cointegrated Vector Auto-Regressive Models! is proved+