An I(2) cointegration analysis of small‐country import price determination

DOI10.1111/1368-423X.00099zbMath1069.91088MaRDI QIDQ4439298

Hans Christian Kongsted

Publication date: 25 February 2004

Published in: The Econometrics Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1368-423x.00099

zbMATH Keywords

stochastic trend; pricing-to-market; long-run price trends; nominal trend; second-order integration

Mathematics Subject Classification ID

91B24: Microeconomic theory (price theory and economic markets)

91B82: Statistical methods; economic indices and measures

Related Items

Likelihood-Based Inference for Weak Exogeneity inI(2) Cointegrated VAR Models, Bayesian Inference in CointegratedI(2) Systems: A Generalization of the Triangular Model, Testing the nominal-to-real transformation, Impact factors, 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, A residual-based ADF test for stationary cointegration in I(2) settings, MODELLING TIME SERIES DATA OF MONETARY AGGREGATES USINGI(2) ANDI(1) COINTEGRATION ANALYSIS, THE LIKELIHOOD RATIO TEST FOR COINTEGRATION RANKS IN THE I(2) MODEL

Uses Software

• CATS

Cites Work

• Trend stationarity in the \(I(2)\) cointegration model.
• Weak exogeneity in \(I(2)\) VAR systems
• Do purchasing power parity and uncovered interest rate parity hold in the long run? An example of likelihood inference in a multivariate time- series model