An I(2) cointegration analysis of small‐country import price determination

DOI10.1111/1368-423X.00099zbMath1069.91088OpenAlexW3122388085MaRDI QIDQ4439298

Hans Christian Kongsted

Publication date: 25 February 2004

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

Full work available at URL: https://doi.org/10.1111/1368-423x.00099

zbMATH Keywords

stochastic trendpricing-to-marketlong-run price trendsnominal trendsecond-order integration

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Statistical methods; economic indices and measures (91B82)

Related Items

Impact factors ⋮ THE LIKELIHOOD RATIO TEST FOR COINTEGRATION RANKS IN THE I(2) MODEL ⋮ Bayesian Inference in CointegratedI(2) Systems: A Generalization of the Triangular Model ⋮ 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 ⋮ A ``maximum-eigenvalue test for the cointegration ranks in \(I(2)\) vector autoregressions ⋮ 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 ⋮ Testing the nominal-to-real transformation

Uses Software

• CATS

Cites Work

• Trend stationarity in the \(I(2)\) cointegration model.
• Weak exogeneity in \(I(2)\) VAR systems
• 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

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