Weak exogeneity in \(I(2)\) VAR systems

DOI10.1016/S0304-4076(99)00012-3zbMath0946.62085OpenAlexW2037937422MaRDI QIDQ1808548

Paolo Paruolo, Anders Rahbek

Publication date: 25 November 1999

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

Full work available at URL: https://doi.org/10.1016/s0304-4076(99)00012-3

zbMATH Keywords

unit rootsI(2)weak exogeneitymulti-cointegrationvector autoregressive systems

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of parametric tests (62F05)

Related Items (15)

Impact factors ⋮ Unnamed Item ⋮ THE LIKELIHOOD RATIO TEST FOR COINTEGRATION RANKS IN THE I(2) MODEL ⋮ Common trends and cycles in I(2) VAR systems ⋮ Likelihood-Based Inference for Weak Exogeneity inI(2) Cointegrated VAR Models ⋮ Likelihood-based tests for parameter constancy in \(I(2)\) CVAR models with an application to fixed-term deposit data ⋮ A NOTE ON TESTING RESTRICTIONS FOR THE COINTEGRATION PARAMETERS OF A VAR WITH I(2) VARIABLES ⋮ MIXED NORMAL INFERENCE ON MULTICOINTEGRATION ⋮ Testing hypotheses in an \(I(2)\) model with piecewise linear trends. An analysis of the persistent long swings in the Dmk/\$ rate ⋮ A characterization of vector autoregressive processes with common cyclical features ⋮ An I(2) cointegration analysis of small‐country import price determination ⋮ Variable selection In regression models using global sensitivity analysis ⋮ Weak exogeneity in \(I(2)\) VAR systems ⋮ MODELLING TIME SERIES DATA OF MONETARY AGGREGATES USINGI(2) ANDI(1) COINTEGRATION ANALYSIS ⋮ Testing the nominal-to-real transformation

Cites Work

• Unnamed Item
• A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
• Cointegration in partial systems and the efficiency of single-equation analysis
• Trend stationarity in the \(I(2)\) cointegration model.
• Weak exogeneity in \(I(2)\) VAR systems
• Efficient inference on cointegration parameters in structural error correction models
• On the determination of integration indices in I(2) systems
• Exogeneity
• Optimal Inference in Cointegrated Systems
• A Stastistical Analysis of Cointegration for I(2) Variables
• The role of the drift in I(2) systems
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Likelihood Analysis of the I(2) Model
• Dynamic Econometrics
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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