Statistical analysis of hypotheses on the cointegrating relations in the \(I(2)\) model

DOI10.1016/j.jeconom.2005.01.024zbMath1337.62234MaRDI QIDQ291627

Søren Glud Johansen

Publication date: 10 June 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2005.01.024

zbMATH Keywords

likelihood ratio test; cointegration; asymptotic theory; \(I(2)\) processes

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62M09: Non-Markovian processes: estimation

Related Items

MIXED NORMAL INFERENCE ON MULTICOINTEGRATION, Likelihood-Based Inference for Weak Exogeneity inI(2) Cointegrated VAR Models, High-dimensional IV cointegration estimation and inference, Testing hypotheses in an \(I(2)\) model with piecewise linear trends. An analysis of the persistent long swings in the Dmk/\$ rate, The cointegrated vector autoregressive model with general deterministic terms, Likelihood-based tests for parameter constancy in \(I(2)\) CVAR models with an application to fixed-term deposit data, Fully modified least squares cointegrating parameter estimation in multicointegrated systems, MODELLING TIME SERIES DATA OF MONETARY AGGREGATES USINGI(2) ANDI(1) COINTEGRATION ANALYSIS, THE LIKELIHOOD RATIO TEST FOR COINTEGRATION RANKS IN THE I(2) MODEL, An I(2) cointegration model with piecewise linear trends, Representation of Cointegrated Autoregressive Processes with Application to Fractional Processes

Cites Work

• A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
• MIXED NORMALITY AND ANCILLARITY IN I(2) SYSTEMS
• Estimation of Cointegrated Systems with I(2) Processes
• Asymptotic Statistics
• Likelihood Analysis of the I(2) Model
• ASYMPTOTIC EFFICIENCY OF THE TWO STAGE ESTIMATOR IN I (2) SYSTEMS