An I(2) cointegration model with piecewise linear trends

DOI10.1111/j.1368-423X.2010.00333.xzbMath1218.62094OpenAlexW1482179412MaRDI QIDQ3018500

Takamitsu Kurita, Anders Rahbek, Heino Bohn Nielsen

Publication date: 27 July 2011

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

Full work available at URL: https://doi.org/10.1111/j.1368-423x.2010.00333.x

zbMATH Keywords

I(2)rank testlikelihood analysispiecewise linear trendsUS consumption

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)

Related Items (1)

Likelihood-based tests for parameter constancy in \(I(2)\) CVAR models with an application to fixed-term deposit data

Uses Software

• Ox

Cites Work

• Unnamed Item
• Testing the nominal-to-real transformation
• Statistical analysis of hypotheses on the cointegrating relations in the \(I(2)\) model
• Testing hypotheses in an \(I(2)\) model with piecewise linear trends. An analysis of the persistent long swings in the Dmk/\$ rate
• Trend stationarity in the \(I(2)\) cointegration model.
• Cointegration analysis in the presence of structural breaks in the deterministic trend
• MIXED NORMALITY AND ANCILLARITY IN I(2) SYSTEMS
• THE LIKELIHOOD RATIO TEST FOR COINTEGRATION RANKS IN THE I(2) MODEL
• COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY
• Testing For and Dating Common Breaks in Multivariate Time Series
• Likelihood Analysis of the I(2) Model
• ASYMPTOTIC EFFICIENCY OF THE TWO STAGE ESTIMATOR IN I (2) SYSTEMS
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• MIXED NORMAL INFERENCE ON MULTICOINTEGRATION
• Estimating and Testing Structural Changes in Multivariate Regressions
• Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time

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