A NOTE ON TESTING RESTRICTIONS FOR THE COINTEGRATION PARAMETERS OF A VAR WITH I(2) VARIABLES
From MaRDI portal
Publication:5697619
DOI10.1017/S0266466605050280zbMath1074.62057MaRDI QIDQ5697619
Søren Glud Johansen, Helmut Lütkepohl
Publication date: 18 October 2005
Published in: Econometric Theory (Search for Journal in Brave)
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05: Applications of statistics to actuarial sciences and financial mathematics
Related Items
Cites Work
- Testing the nominal-to-real transformation
- Trend stationarity in the \(I(2)\) cointegration model.
- Weak exogeneity in \(I(2)\) VAR systems
- On the determination of integration indices in I(2) systems
- MIXED NORMALITY AND ANCILLARITY IN I(2) SYSTEMS
- Likelihood Analysis of the I(2) Model
- ASYMPTOTIC EFFICIENCY OF THE TWO STAGE ESTIMATOR IN I (2) SYSTEMS
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models