A NOTE ON TESTING RESTRICTIONS FOR THE COINTEGRATION PARAMETERS OF A VAR WITH I(2) VARIABLES

DOI10.1017/S0266466605050280zbMath1074.62057OpenAlexW1982056856MaRDI QIDQ5697619

Søren Glud Johansen, Helmut Lütkepohl

Publication date: 18 October 2005

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

Full work available at URL: https://doi.org/10.1017/s0266466605050280

zbMATH Keywords

nominal money stock

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (1)

MODELLING TIME SERIES DATA OF MONETARY AGGREGATES USINGI(2) ANDI(1) COINTEGRATION ANALYSIS

Cites Work

• Testing the nominal-to-real transformation
• Trend stationarity in the \(I(2)\) cointegration model.
• Weak exogeneity in \(I(2)\) VAR systems
• On the determination of integration indices in I(2) systems
• MIXED NORMALITY AND ANCILLARITY IN I(2) SYSTEMS
• Likelihood Analysis of the I(2) Model
• ASYMPTOTIC EFFICIENCY OF THE TWO STAGE ESTIMATOR IN I (2) SYSTEMS
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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