The role of the drift in I(2) systems

DOI10.1007/BF02589043zbMath1446.62247OpenAlexW1974743495MaRDI QIDQ3598300

Paolo Paruolo

Publication date: 3 February 2009

Published in: Journal of the Italian Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02589043

zbMATH Keywords

unit rootsvector autoregressive processespolynomial cointegrationmulti-cointegrationlimiting Gaussian functional family

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (4)

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 ⋮ On the determination of integration indices in I(2) systems ⋮ A Stastistical Analysis of Cointegration for I(2) Variables ⋮ Weak exogeneity in \(I(2)\) VAR systems

Cites Work

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• A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
• Limiting distributions of least squares estimates of unstable autoregressive processes
• Optimal Inference in Cointegrated Systems
• Multiple Time Series Regression with Integrated Processes
• Testing for Common Trends
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• ASYMPTOTIC INFERENCE ON THE MOVING AVERAGE IMPACT MATRIX IN COINTEGRATED I (2) VAR SYSTEMS
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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