Testing hypotheses in an $I(2)$ model with piecewise linear trends. An analysis of the persistent long swings in the Dmk/\$ rate (Q736564): Difference between revisions

Latest revision as of 09:41, 12 July 2024

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English	Testing hypotheses in an $I(2)$ model with piecewise linear trends. An analysis of the persistent long swings in the Dmk/\$ rate	scientific article

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scholarly article

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title

Testing hypotheses in an $I(2)$ model with piecewise linear trends. An analysis of the persistent long swings in the Dmk/\$ rate (English)

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zbMATH Open document ID

1431.62388

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DOI

10.1016/j.jeconom.2010.03.018

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Journal of Econometrics

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publication date

4 August 2016

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Mathematics Subject Classification ID

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PPP

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long swings puzzle

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cointegrated VAR

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test of overidentification

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.jeconom.2010.03.018

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OpenAlex ID

W2075464655

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cites work

MIXED NORMALITY AND ANCILLARITY IN I(2) SYSTEMS

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MIXED NORMAL INFERENCE ON MULTICOINTEGRATION

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Q5309954

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Five alternative methods of estimating long-run equilibrium relationships

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Some tests for parameter constancy in cointegrated VAR‐models

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Likelihood Analysis of the I(2) Model

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Statistical analysis of hypotheses on the cointegrating relations in the $I(2)$ model

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Do purchasing power parity and uncovered interest rate parity hold in the long run? An example of likelihood inference in a multivariate time- series model

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Q3415188

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Testing the nominal-to-real transformation

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Cointegration analysis in the presence of outliers

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THE LIKELIHOOD RATIO TEST FOR COINTEGRATION RANKS IN THE I(2) MODEL

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ASYMPTOTIC EFFICIENCY OF THE TWO STAGE ESTIMATOR IN I (2) SYSTEMS

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ASYMPTOTIC INFERENCE ON THE MOVING AVERAGE IMPACT MATRIX IN COINTEGRATED I (2) VAR SYSTEMS

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Weak exogeneity in $I(2)$ VAR systems

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Trend stationarity in the $I(2)$ cointegration model.

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Sitelinks

Mathematics(1 entry)

mardi Publication:736564

@@ Property / cites work @@
+MIXED NORMALITY AND ANCILLARITY IN <i>I</i>(2) SYSTEMS
+Normal rank
@@ Property / cites work @@
+MIXED NORMAL INFERENCE ON MULTICOINTEGRATION
@@ Property / cites work: MIXED NORMAL INFERENCE ON MULTICOINTEGRATION / rank @@
+Normal rank
@@ Property / cites work @@
+Q5309954
@@ Property / cites work: Q5309954 / rank @@
+Normal rank
@@ Property / cites work @@
+Five alternative methods of estimating long-run equilibrium relationships
+Normal rank
@@ Property / cites work @@
+Some tests for parameter constancy in cointegrated VAR‐models
+Normal rank
@@ Property / cites work @@
+Likelihood Analysis of the <i>I</i>(2) Model
@@ Property / cites work: Likelihood Analysis of the <i>I</i>(2) Model / rank @@
+Normal rank
@@ Property / cites work @@
+Statistical analysis of hypotheses on the cointegrating relations in the \(I(2)\) model
+Normal rank
@@ Property / cites work @@
+Do purchasing power parity and uncovered interest rate parity hold in the long run? An example of likelihood inference in a multivariate time- series model
+Normal rank
@@ Property / cites work @@
+Q3415188
@@ Property / cites work: Q3415188 / rank @@
+Normal rank
@@ Property / cites work @@
+Testing the nominal-to-real transformation
@@ Property / cites work: Testing the nominal-to-real transformation / rank @@
+Normal rank
@@ Property / cites work @@
+Cointegration analysis in the presence of outliers
+Normal rank
@@ Property / cites work @@
+THE LIKELIHOOD RATIO TEST FOR COINTEGRATION RANKS IN THE I(2) MODEL
+Normal rank
@@ Property / cites work @@
+ASYMPTOTIC EFFICIENCY OF THE TWO STAGE ESTIMATOR IN <i>I</i>  (2) SYSTEMS
+Normal rank
@@ Property / cites work @@
+ASYMPTOTIC INFERENCE ON THE MOVING AVERAGE IMPACT MATRIX  IN COINTEGRATED <i>I</i> (2) VAR SYSTEMS
+Normal rank
@@ Property / cites work @@
+Weak exogeneity in \(I(2)\) VAR systems
@@ Property / cites work: Weak exogeneity in \(I(2)\) VAR systems / rank @@
+Normal rank
@@ Property / cites work @@
+Trend stationarity in the \(I(2)\) cointegration model.
+Normal rank

Testing hypotheses in an \(I(2)\) model with piecewise linear trends. An analysis of the persistent long swings in the Dmk/\$ rate (Q736564): Difference between revisions

Latest revision as of 09:41, 12 July 2024

Statements

Sitelinks

Mathematics(1 entry)