Trend stationarity in the \(I(2)\) cointegration model.
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Publication:1298470
DOI10.1016/S0304-4076(98)00044-XzbMath1041.62522OpenAlexW2061179942MaRDI QIDQ1298470
Clara Jørgensen, Anders Rahbek, Hans Christian Kongsted
Publication date: 8 September 1999
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0304-4076(98)00044-x
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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Cites Work
- Statistical analysis of cointegration vectors
- Limiting distributions of least squares estimates of unstable autoregressive processes
- The asymptotics of single-equation cointegration regressions with I(1) and I(2) variables
- Identifying restrictions of linear equations with applications to simultaneous equations and cointegration
- On the determination of integration indices in I(2) systems
- Optimal Inference in Cointegrated Systems
- A Stastistical Analysis of Cointegration for I(2) Variables
- Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
- ASYMPTOTIC EFFICIENCY OF THE TWO STAGE ESTIMATOR IN I (2) SYSTEMS
- The role of the constant and linear terms in cointegration analysis of nonstationary variables
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
