Common trends and cycles in I(2) VAR systems

DOI10.1016/j.jeconom.2005.01.026zbMath1337.62276OpenAlexW2039951496MaRDI QIDQ291631

Paolo Paruolo

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.2005.01.026

zbMATH Keywords

cointegrationcommon cyclesI(2)reduced rank regressioncommon features

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Non-Markovian processes: hypothesis testing (62M07)

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Cites Work

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