Likelihood Analysis of the I(2) Model
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Publication:4376535
DOI10.1111/1467-9469.00074zbMATH Open0923.62094OpenAlexW2129115426MaRDI QIDQ4376535FDOQ4376535
Authors: Søren Johansen 
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
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Cited In (31)
- Testing hypotheses in an \(I(2)\) model with piecewise linear trends. An analysis of the persistent long swings in the Dmk/\$ rate
- Testing the nominal-to-real transformation
- Impact factors
- The role of the drift in I(2) systems
- Common trends and cycles in I(2) VAR systems
- Statistical analysis of hypotheses on the cointegrating relations in the \(I(2)\) model
- Cointegration analysis with state space models
- Representation of Cointegrated Autoregressive Processes with Application to Fractional Processes
- A state space canonical form for unit root processes
- A multicointegration model of global climate change
- Weak exogeneity in \(I(2)\) VAR systems
- 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
- A ``maximum-eigenvalue test for the cointegration ranks in \(I(2)\) vector autoregressions
- A REPRESENTATION THEORY FOR A CLASS OF VECTOR AUTOREGRESSIVE MODELS FOR FRACTIONAL PROCESSES
- Local power functions of tests for double unit roots
- Mixed normal inference on multicointegration
- On the Robustness of Unit Root Tests in the Presence of Double Unit Roots
- Likelihood-based inference for weak exogeneity in I(2) cointegrated VAR models
- 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
- A Stastistical Analysis of Cointegration for I(2) Variables
- Likelihood inference for a fractionally cointegrated vector autoregressive model
- Cointegrated dynamics for a generalized long memory process: application to interest rates
- 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
- An I(2) cointegration model with piecewise linear trends
- Identification conditions in simultaneous systems of cointegrating equations with integrated variables of higher order
- Title not available (Why is that?)
- Analysis of coexplosive processes
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