Likelihood Analysis of the I(2) Model
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Publication:4376535
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(31)- Cointegration analysis with state space models
- Adaptive Testing for Cointegration With Nonstationary Volatility
- A ``maximum-eigenvalue test for the cointegration ranks in \(I(2)\) vector autoregressions
- Weak exogeneity in \(I(2)\) VAR systems
- 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
- A NOTE ON TESTING RESTRICTIONS FOR THE COINTEGRATION PARAMETERS OF A VAR WITH I(2) VARIABLES
- On the Robustness of Unit Root Tests in the Presence of Double Unit Roots
- Testing hypotheses in an \(I(2)\) model with piecewise linear trends. An analysis of the persistent long swings in the Dmk/\$ rate
- An I(2) cointegration model with piecewise linear trends
- 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
- Modelling time series data of monetary aggregates using \(I(2)\) and \(I(1)\) cointegration analysis
- A state space canonical form for unit root processes
- Local power functions of tests for double unit roots
- Likelihood inference for a fractionally cointegrated vector autoregressive model
- Likelihood-based inference for weak exogeneity in I(2) cointegrated VAR models
- The likelihood ratio test for cointegration ranks in the I(2) model
- The role of the drift in I(2) systems
- Fully modified least squares cointegrating parameter estimation in multicointegrated systems
- A Stastistical Analysis of Cointegration for I(2) Variables
- Identification conditions in simultaneous systems of cointegrating equations with integrated variables of higher order
- Representation of Cointegrated Autoregressive Processes with Application to Fractional Processes
- Testing the nominal-to-real transformation
- Impact factors
- scientific article; zbMATH DE number 1538096 (Why is no real title available?)
- A REPRESENTATION THEORY FOR A CLASS OF VECTOR AUTOREGRESSIVE MODELS FOR FRACTIONAL PROCESSES
- Analysis of coexplosive processes
- A multicointegration model of global climate change
- High-dimensional IV cointegration estimation and inference
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