A Stastistical Analysis of Cointegration for I(2) Variables
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Recommendations
- A NOTE ON TESTING RESTRICTIONS FOR THE COINTEGRATION PARAMETERS OF A VAR WITH I(2) VARIABLES
- Statistical analysis of hypotheses on the cointegrating relations in the I(2) model
- The asymptotics of single-equation cointegration regressions with I(1) and I(2) variables
- Trend stationarity in the \(I(2)\) cointegration model.
- Estimating systems of trending variables
Cites work
- A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
- Asymptotics for linear processes
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
- scientific article; zbMATH DE number 3723610 (Why is no real title available?)
- Likelihood Analysis of the I(2) Model
- Limiting distributions of least squares estimates of unstable autoregressive processes
- Nested Reduced-Rank Autogressive Models for Multiple Time Series
- Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK
- The role of the drift in I(2) systems
- Weak convergence to the matrix stochastic integral \(\int ^{1}_{0}B\,dB'\)
Cited in
(34)- Representations of \(I(2)\) cointegrated systems using the Smith-McMillan form
- Trend stationarity in the \(I(2)\) cointegration model.
- The asymptotics of single-equation cointegration regressions with I(1) and I(2) variables
- Polynomial cointegration. Estimation and test
- I(2) representations of US money demand
- Testing for multicointegration
- Weak exogeneity in \(I(2)\) VAR systems
- A small sample correction for tests of hypotheses on the cointegrating vectors
- Tests for the order of integration against higher order integration
- 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
- On the determination of integration indices in I(2) systems
- A ``maximum-eigenvalue test for the cointegration ranks in \(I(2)\) vector autoregressions
- Likelihood-based tests for parameter constancy in I(2) CVAR models with an application to fixed-term deposit data
- A residual-based ADF test for stationary cointegration in I(2) settings
- A unifying theory of tests of rank
- Estimation of long-run parameters in unbalanced cointegration
- Testing the joint hypothesis of rationality and neutrality under seasonal cointegration: The case of Korea
- Testing the nominal-to-real transformation
- Impact factors
- Bayesian multivariate Beveridge-Nelson decomposition of I(1) and I(2) series with cointegration
- Modelling time series data of monetary aggregates using I(2) and I(1) cointegration analysis
- Statistical analysis of hypotheses on the cointegrating relations in the I(2) model
- Common trends and cycles in I(2) VAR systems
- Clive W. J. Granger and cointegration
- Estimation of Cointegrated Systems with I(2) Processes
- An I(2) cointegration analysis of small‐country import price determination
- On the Distribution of Likelihood Ratio Test Statistics for Cointegration Rank
- ASYMPTOTIC INFERENCE ON THE MOVING AVERAGE IMPACT MATRIX IN COINTEGRATED I (2) VAR SYSTEMS
- Estimating systems of trending variables
- Likelihood-based inference for weak exogeneity in I(2) cointegrated VAR models
- AN ANALYSIS OF ASIAN MARKET INTEGRATION PRE- AND POST-CRISIS
- High-dimensional IV cointegration estimation and inference
- On the Identification of Fractionally Cointegrated VAR Models With theF(d)Condition
- On multicointegration
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