Abstract :
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+
