Likelihood Analysis of the I(2) Model
A process \(X_t\) is \(I(1)\) (integrated of order 1) if its differences \(X_t-X_{t-1}= \Delta X_t\) form a stationary process. A process is \(I(2)\) if its differences form an \(I(1)\) process. The vector autoregressive model with Gaussian errors and \(k\) lags can be written as \[ \Delta^2X_t= \prod X_{t-1}- \Gamma\Delta X_{t-1}+ \sum^{k-1}_{i=1} \Psi_i\Delta^2 X_{t-i}+ \varepsilon_t, \] where \(\varepsilon_t\) are i.i.d. \(N_p(0,\Omega)\), \(\Psi_i=-\sum^{k-1}_{j=i+1} \Gamma_j\). The \(I(2)\) model is defined as a submodel of this, by two reduced rank conditions, namely: (1) \(\prod=\alpha\beta'\), where \(\alpha\) and \(\beta\) are \(p\times r\) \((r<p)\), and (2) \(\alpha'{}^\perp\Gamma\beta'{}^\perp= \xi\eta'\), where \(\xi\) and \(\eta\) are \((p-r)\times s\) \((s<p-r)\), and \(\perp\) denotes the orthogonal complement. The model describes stochastic processes with stationary second differences. A parametrization is suggested which makes likelihood inference feasible. Consistency of the maximum likelihood estimator is proved, and the asymptotic distribution of the m.l.e. is given. It is shown that the asymptotic distribution is either Gaussian, mixed Gaussian or, in some cases, even more complicated.
- Statistical analysis of hypotheses on the cointegrating relations in the I(2) model
- Trend stationarity in the \(I(2)\) cointegration model.
- The likelihood ratio test for cointegration ranks in the I(2) model
- Estimation of Cointegrated Systems with I(2) Processes
- A NOTE ON TESTING RESTRICTIONS FOR THE COINTEGRATION PARAMETERS OF A VAR WITH I(2) VARIABLES
- Likelihood inference for a fractionally cointegrated vector autoregressive model
- Trend stationarity in the \(I(2)\) cointegration model.
- Cointegration analysis with state space models
- Weak exogeneity in \(I(2)\) VAR systems
- A ``maximum-eigenvalue test for the cointegration ranks in \(I(2)\) vector autoregressions
- Likelihood-based tests for parameter constancy in I(2) CVAR models with an application to fixed-term deposit data
- Cointegrated dynamics for a generalized long memory process: application to interest rates
- A multicointegration model of global climate change
- Testing the nominal-to-real transformation
- Impact factors
- Fully modified least squares cointegrating parameter estimation in multicointegrated systems
- Modelling time series data of monetary aggregates using I(2) and I(1) cointegration analysis
- The likelihood ratio test for cointegration ranks in the I(2) model
- Statistical analysis of hypotheses on the cointegrating relations in the I(2) model
- Common trends and cycles in I(2) VAR systems
- An I(2) cointegration model with piecewise linear trends
- A Stastistical Analysis of Cointegration for I(2) Variables
- Analysis of coexplosive processes
- The role of the drift in I(2) systems
- Representation of Cointegrated Autoregressive Processes with Application to Fractional Processes
- A REPRESENTATION THEORY FOR A CLASS OF VECTOR AUTOREGRESSIVE MODELS FOR FRACTIONAL PROCESSES
- scientific article; zbMATH DE number 1538096 (Why is no real title available?)
- On the Robustness of Unit Root Tests in the Presence of Double Unit Roots
- Mixed normal inference on multicointegration
- Likelihood-based inference for weak exogeneity in I(2) cointegrated VAR models
- Identification conditions in simultaneous systems of cointegrating equations with integrated variables of higher order
- Local power functions of tests for double unit roots
- A state space canonical form for unit root processes
- A NOTE ON TESTING RESTRICTIONS FOR THE COINTEGRATION PARAMETERS OF A VAR WITH I(2) VARIABLES
- High-dimensional IV cointegration estimation and inference
- Adaptive Testing for Cointegration With Nonstationary Volatility
- Testing hypotheses in an I(2) model with piecewise linear trends. An analysis of the persistent long swings in the Dmk/\$ rate
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