Weak exogeneity in I(2) VAR systems

DOI10.1016/S0304-4076(99)00012-3zbMATH Open0946.62085OpenAlexW2037937422MaRDI QIDQ1808548FDOQ1808548

Authors Paolo Paruolo, Anders Rahbek 

Publication date 25 November 1999

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0304-4076(99)00012-3

zbMATH Keywords

unit rootsI(2)weak exogeneitymulti-cointegrationvector autoregressive systems

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Asymptotic properties of parametric tests (62F05)

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Cites work

• scientific article; zbMATH DE number 3602484 (Why is no real title available?)
• A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
• A Stastistical Analysis of Cointegration for I(2) Variables
• Cointegration in partial systems and the efficiency of single-equation analysis
• Dynamic Econometrics
• Efficient inference on cointegration parameters in structural error correction models
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• Exogeneity
• Likelihood Analysis of the I(2) Model
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• On the determination of integration indices in I(2) systems
• Optimal Inference in Cointegrated Systems
• The role of the drift in I(2) systems
• Trend stationarity in the \(I(2)\) cointegration model.
• Weak exogeneity in \(I(2)\) VAR systems

Cited in

(19)

• On the interactions of unit roots and exogeneity
• Weak exogeneity in \(I(2)\) VAR systems
• Mixed normal inference on multicointegration
• Variable selection In regression models using global sensitivity analysis
• Common trends and cycles in I(2) VAR systems
• A NOTE ON TESTING RESTRICTIONS FOR THE COINTEGRATION PARAMETERS OF A VAR WITH I(2) VARIABLES
• An I(2) cointegration analysis of small‐country import price determination
• Testing hypotheses in an \(I(2)\) model with piecewise linear trends. An analysis of the persistent long swings in the Dmk/\$ rate
• A characterization of vector autoregressive processes with common cyclical features
• Likelihood-based tests for parameter constancy in \(I(2)\) CVAR models with an application to fixed-term deposit data
• Modelling time series data of monetary aggregates using \(I(2)\) and \(I(1)\) cointegration analysis
• Exogeneity in error correction models
• A necessary and sufficient condition for weak exogeneity in vector error correction models
• Likelihood-based inference for weak exogeneity in I(2) cointegrated VAR models
• The likelihood ratio test for cointegration ranks in the I(2) model
• The weak sequential core for two-period economies
• Testing the nominal-to-real transformation
• Impact factors
• Clive W. J. Granger and cointegration

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