On the determination of integration indices in I(2) systems

DOI10.1016/0304-4076(95)01725-9zbMath0844.62096OpenAlexW2073668113MaRDI QIDQ1915474

Paolo Paruolo

Publication date: 1 September 1996

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

Full work available at URL: https://doi.org/10.1016/0304-4076(95)01725-9

zbMATH Keywords

Monte Carloasymptotic propertiescointegrationfinite-sample behaviorregressionmoney demandreduced rank regressionlinear trendvector autoregressive systemslimiting Gaussian functional familynumbers of common componentsVAR system

Mathematics Subject Classification ID

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

Related Items

Impact factors ⋮ THE INTEGRATION ORDER OF VECTOR AUTOREGRESSIVE PROCESSES ⋮ THE LIKELIHOOD RATIO TEST FOR COINTEGRATION RANKS IN THE I(2) MODEL ⋮ Robustifying forecasts from equilibrium-correction systems ⋮ Bayesian Inference in CointegratedI(2) Systems: A Generalization of the Triangular Model ⋮ Likelihood-Based Inference for Weak Exogeneity inI(2) Cointegrated VAR Models ⋮ Likelihood-based tests for parameter constancy in \(I(2)\) CVAR models with an application to fixed-term deposit data ⋮ Testing for multicointegration ⋮ Multicointegration under measurement errors ⋮ A NOTE ON TESTING RESTRICTIONS FOR THE COINTEGRATION PARAMETERS OF A VAR WITH I(2) VARIABLES ⋮ LR cointegration tests when some cointegrating relations are known ⋮ Representation of Cointegrated Autoregressive Processes with Application to Fractional Processes ⋮ Weak exogeneity in \(I(2)\) VAR systems ⋮ On the Distribution of Likelihood Ratio Test Statistics for Cointegration Rank ⋮ Pitfalls in testing for long run relationships ⋮ Representations of \(I(2)\) cointegrated systems using the Smith-McMillan form ⋮ Trend stationarity in the \(I(2)\) cointegration model. ⋮ A residual-based ADF test for stationary cointegration in I(2) settings ⋮ MODELLING TIME SERIES DATA OF MONETARY AGGREGATES USINGI(2) ANDI(1) COINTEGRATION ANALYSIS ⋮ Testing the nominal-to-real transformation

Cites Work

• A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
• Limiting distributions of least squares estimates of unstable autoregressive processes
• Optimal Inference in Cointegrated Systems
• A Stastistical Analysis of Cointegration for I(2) Variables
• The role of the drift in I(2) systems
• Multiple Time Series Regression with Integrated Processes
• Testing for Common Trends
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• ASYMPTOTIC INFERENCE ON THE MOVING AVERAGE IMPACT MATRIX IN COINTEGRATED I (2) VAR SYSTEMS
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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