Likelihood Analysis of the I(2) Model

DOI10.1111/1467-9469.00074MaRDI QIDQ4376535zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

cointegrationintegrated processesvector autoregressive model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(32)

• 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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