Estimation of Cointegrated Systems with I(2) Processes

DOI10.1017/S0266466600009014MaRDI QIDQ3365343zbMATH OpenOpenAlexFDO

Authors Yuichi Kitamura

Publication date 1995

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0266466600009014

zbMATH Keywords

univariate time series: estimation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Recommendations

• A Stastistical Analysis of Cointegration for I(2) Variables
• Statistical analysis of hypotheses on the cointegrating relations in the I(2) model
• COINTEGRATION FOR PERIODICALLY INTEGRATED PROCESSES
• Estimation of stochastic processes with stationary increments and cointegrated sequences
• Estimating cointegrated systems using subspace algorithms
• A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems

Cited in

(11)

• Cointegration in partial systems and the efficiency of single-equation analysis
• Testing for multicointegration
• Tests for the order of integration against higher order integration
• Optimal estimation of cointegrated systems with irrelevant instruments
• Statistical analysis of hypotheses on the cointegrating relations in the I(2) model
• Optimal Inference in Cointegrated Systems
• Likelihood Analysis of the I(2) Model
• ASYMPTOTIC EFFICIENCY OF THE TWO STAGE ESTIMATOR IN I (2) SYSTEMS
• ASYMPTOTIC INFERENCE ON THE MOVING AVERAGE IMPACT MATRIX IN COINTEGRATED I (2) VAR SYSTEMS
• Estimating systems of trending variables
• Computation of the Beveridge--Nelson decomposition in the case of cointegrated systems with I(0) variables

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