Estimation of Cointegrated Systems with I(2) Processes
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Publication:3365343
DOI10.1017/S0266466600009014zbMath1401.62161MaRDI QIDQ3365343
Publication date: 1995
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0266466600009014
62P20: Applications of statistics to economics
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
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Statistical analysis of hypotheses on the cointegrating relations in the \(I(2)\) model, Testing for multicointegration, Tests for the order of integration against higher order integration