Likelihood Analysis of the I(2) Model

Cited In (28)

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
A STATE SPACE CANONICAL FORM FOR UNIT ROOT PROCESSES
Likelihood-Based Inference for Weak Exogeneity inI(2) Cointegrated VAR Models
MIXED NORMAL INFERENCE ON MULTICOINTEGRATION
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 multicointegration model of global climate change
ANALYSIS OF COEXPLOSIVE PROCESSES
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
On the Robustness of Unit Root Tests in the Presence of Double Unit Roots
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
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

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