Statistical analysis of hypotheses on the cointegrating relations in the \(I(2)\) model

DOI10.1016/j.jeconom.2005.01.024zbMath1337.62234OpenAlexW2008633312MaRDI QIDQ291627

Søren Glud Johansen

Publication date: 10 June 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2005.01.024

zbMATH Keywords

likelihood ratio testcointegrationasymptotic theory\(I(2)\) processes

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Non-Markovian processes: estimation (62M09)

Related Items (11)

THE LIKELIHOOD RATIO TEST FOR COINTEGRATION RANKS IN THE I(2) MODEL ⋮ The cointegrated vector autoregressive model with general deterministic terms ⋮ 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 ⋮ Fully modified least squares cointegrating parameter estimation in multicointegrated systems ⋮ High-dimensional IV cointegration estimation and inference ⋮ An I(2) cointegration model with piecewise linear trends ⋮ MIXED NORMAL INFERENCE ON MULTICOINTEGRATION ⋮ Representation of Cointegrated Autoregressive Processes with Application to Fractional Processes ⋮ Testing hypotheses in an \(I(2)\) model with piecewise linear trends. An analysis of the persistent long swings in the Dmk/\$ rate ⋮ MODELLING TIME SERIES DATA OF MONETARY AGGREGATES USINGI(2) ANDI(1) COINTEGRATION ANALYSIS

Cites Work

• A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
• MIXED NORMALITY AND ANCILLARITY IN I(2) SYSTEMS
• Estimation of Cointegrated Systems with I(2) Processes
• Asymptotic Statistics
• Likelihood Analysis of the I(2) Model
• ASYMPTOTIC EFFICIENCY OF THE TWO STAGE ESTIMATOR IN I (2) SYSTEMS

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