Common trends and cycles in I(2) VAR systems

DOI10.1016/j.jeconom.2005.01.026zbMath1337.62276MaRDI QIDQ291631

Paolo Paruolo

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.2005.01.026

zbMATH Keywords

cointegration; common cycles; I(2); reduced rank regression; common features

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62M09: Non-Markovian processes: estimation

62M07: Non-Markovian processes: hypothesis testing

Related Items

Modelling comovements of economic time series: a selective survey, Common cyclical features analysis in VAR models with cointegration, A characterization of vector autoregressive processes with common cyclical features, A unifying framework for analysing common cyclical features in cointegrated time series, Likelihood-based tests for parameter constancy in \(I(2)\) CVAR models with an application to fixed-term deposit data

Cites Work

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