Testing hypotheses in an \(I(2)\) model with piecewise linear trends. An analysis of the persistent long swings in the Dmk/\$ rate

DOI10.1016/j.jeconom.2010.03.018zbMath1431.62388OpenAlexW2075464655MaRDI QIDQ736564

Roman Frydman, Michael Goldberg, Katarina Juselius, Søren Glud Johansen

Publication date: 4 August 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2010.03.018

zbMATH Keywords

PPPcointegrated VARlong swings puzzletest of overidentification

Mathematics Subject Classification ID

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

Related Items (8)

Stationary and Nonstationary Behaviour of the Term Structure: A Nonparametric Characterization ⋮ Likelihood-based tests for parameter constancy in \(I(2)\) CVAR models with an application to fixed-term deposit data ⋮ An I(2) cointegration model with piecewise linear trends ⋮ Identification conditions in simultaneous systems of cointegrating equations with integrated variables of higher order ⋮ Some identification problems in the cointegrated vector autoregressive model ⋮ Testing fractional unit roots with non-linear smooth break approximations using Fourier functions ⋮ A residual-based ADF test for stationary cointegration in I(2) settings ⋮ Bootstrap tests for time varying cointegration

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• MIXED NORMAL INFERENCE ON MULTICOINTEGRATION

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