A Stastistical Analysis of Cointegration for I(2) Variables

DOI10.1017/S0266466600009026zbMath1274.62597OpenAlexW1992209381MaRDI QIDQ3365344

Søren Glud Johansen

Publication date: 1995

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466600009026

zbMATH Keywords

signal analysisinference for time series

Mathematics Subject Classification ID

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

Related Items

Impact factors, Unnamed Item, Tests for the order of integration against higher order integration, Common trends and cycles in I(2) VAR systems, The asymptotics of single-equation cointegration regressions with I(1) and I(2) variables, Polynomial cointegration. Estimation and test, I(2) representations of US money demand, 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, A unifying theory of tests of rank, Likelihood-Based Inference for Weak Exogeneity inI(2) Cointegrated VAR Models, On the determination of integration indices in I(2) systems, Likelihood-based tests for parameter constancy in \(I(2)\) CVAR models with an application to fixed-term deposit data, Testing for multicointegration, A ``maximum-eigenvalue test for the cointegration ranks in \(I(2)\) vector autoregressions, High-dimensional IV cointegration estimation and inference, Bayesian multivariate Beveridge-Nelson decomposition of I(1) and I(2) series with cointegration, Estimation of long-run parameters in unbalanced cointegration, Weak exogeneity in \(I(2)\) VAR systems, On the Distribution of Likelihood Ratio Test Statistics for Cointegration Rank, AN ANALYSIS OF ASIAN MARKET INTEGRATION PRE- AND POST-CRISIS, Testing the joint hypothesis of rationality and neutrality under seasonal cointegration: The case of Korea, Representations of \(I(2)\) cointegrated systems using the Smith-McMillan form, Trend stationarity in the \(I(2)\) cointegration model., 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, A small sample correction for tests of hypotheses on the cointegrating vectors, Testing the nominal-to-real transformation

Cites Work

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