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

DOI10.1111/J.1467-8586.2011.00400.XMaRDI QIDQ2870071zbMATH OpenOpenAlexFDO

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

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)

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Cites work

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

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

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