Likelihood Analysis of the I(2) Model
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Publication:4376535
DOI10.1111/1467-9469.00074zbMath0923.62094OpenAlexW2129115426MaRDI QIDQ4376535
Publication date: 31 October 1999
Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1467-9469.00074
Related Items (27)
Impact factors ⋮ 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 ⋮ Cointegration analysis with state space models ⋮ Local power functions of tests for double unit roots ⋮ Likelihood-Based Inference for Weak Exogeneity inI(2) Cointegrated VAR Models ⋮ Likelihood-based tests for parameter constancy in \(I(2)\) CVAR models with an application to fixed-term deposit data ⋮ A ``maximum-eigenvalue test for the cointegration ranks in \(I(2)\) vector autoregressions ⋮ Fully modified least squares cointegrating parameter estimation in multicointegrated systems ⋮ Cointegrated dynamics for a generalized long memory process: application to interest rates ⋮ High-dimensional IV cointegration estimation and inference ⋮ A NOTE ON TESTING RESTRICTIONS FOR THE COINTEGRATION PARAMETERS OF A VAR WITH I(2) VARIABLES ⋮ A STATE SPACE CANONICAL FORM FOR UNIT ROOT PROCESSES ⋮ An I(2) cointegration model with piecewise linear trends ⋮ Identification conditions in simultaneous systems of cointegrating equations with integrated variables of higher order ⋮ ANALYSIS OF COEXPLOSIVE PROCESSES ⋮ MIXED NORMAL INFERENCE ON MULTICOINTEGRATION ⋮ On the Robustness of Unit Root Tests in the Presence of Double Unit Roots ⋮ A multicointegration model of global climate change ⋮ A Stastistical Analysis of Cointegration for I(2) Variables ⋮ Representation of Cointegrated Autoregressive Processes with Application to Fractional Processes ⋮ Testing hypotheses in an \(I(2)\) model with piecewise linear trends. An analysis of the persistent long swings in the Dmk/\$ rate ⋮ Weak exogeneity in \(I(2)\) VAR systems ⋮ A REPRESENTATION THEORY FOR A CLASS OF VECTOR AUTOREGRESSIVE MODELS FOR FRACTIONAL PROCESSES ⋮ MODELLING TIME SERIES DATA OF MONETARY AGGREGATES USINGI(2) ANDI(1) COINTEGRATION ANALYSIS ⋮ Testing the nominal-to-real transformation
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