Modelling time series data of monetary aggregates using I(2) and I(1) cointegration analysis

DOI10.1111/J.1467-8586.2011.00400.XzbMATH Open1279.91136OpenAlexW1497882443MaRDI QIDQ2870071FDOQ2870071

Authors: Takamitsu Kurita 

Publication date: 17 January 2014

Published in: Bulletin of Economic Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-8586.2011.00400.x

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zbMATH Keywords

maximum likelihoodcointegrated vector autoregressive modelmonetary base\(I(2)\)money multiplierbroad money\(I(1)\)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Cites Work

• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Statistical analysis of cointegration vectors
• Cointegration in partial systems and the efficiency of single-equation analysis
• Trend stationarity in the \(I(2)\) cointegration model.
• Weak exogeneity in \(I(2)\) VAR systems
• On the determination of integration indices in I(2) systems
• Testing the nominal-to-real transformation
• Exogeneity
• A Stastistical Analysis of Cointegration for I(2) Variables
• Likelihood Analysis of the I(2) Model
• An I(2) cointegration analysis of small‐country import price determination
• ASYMPTOTIC EFFICIENCY OF THE TWO STAGE ESTIMATOR IN I (2) SYSTEMS
• Mixed normality and ancillarity in \(I(2)\) systems
• Statistical analysis of hypotheses on the cointegrating relations in the \(I(2)\) model
• Testing for Higher Order Serial Correlation in Regression Equations when the Regressors Include Lagged Dependent Variables
• The cointegrated VAR model: Methodology and applications.
• The likelihood ratio test for cointegration ranks in the I(2) model
• Mixed normal inference on multicointegration
• A NOTE ON TESTING RESTRICTIONS FOR THE COINTEGRATION PARAMETERS OF A VAR WITH I(2) VARIABLES

Cited In (2)

• Inflation, Money Growth, and I(2) Analysis
• Likelihood-based tests for parameter constancy in \(I(2)\) CVAR models with an application to fixed-term deposit data

Uses Software

• PcGive
• Ox

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