A Statistical Analysis of Cointegration for I(2) Variables

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Standard

A Statistical Analysis of Cointegration for I(2) Variables. / Johansen, Søren.

I: Econometric Theory, Bind 11, Nr. 1, 1995, s. 25-59.

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt

Harvard

Johansen, S 1995, 'A Statistical Analysis of Cointegration for I(2) Variables', Econometric Theory, bind 11, nr. 1, s. 25-59. <http://www.jstor.org/stable/3532929>

APA

Johansen, S. (1995). A Statistical Analysis of Cointegration for I(2) Variables. Econometric Theory, 11(1), 25-59. http://www.jstor.org/stable/3532929

Vancouver

Johansen S. A Statistical Analysis of Cointegration for I(2) Variables. Econometric Theory. 1995;11(1):25-59.

Author

Johansen, Søren. / A Statistical Analysis of Cointegration for I(2) Variables. I: Econometric Theory. 1995 ; Bind 11, Nr. 1. s. 25-59.

Bibtex

@article{60190cb0cd1311dd9473000ea68e967b,
title = "A Statistical Analysis of Cointegration for I(2) Variables",
abstract = "This paper discusses inference for I(2) variables in a VAR model. The estimation procedure suggested consists of two reduced rank regressions. The asymptotic distribution of the proposed estimators of the cointegrating coefficients is mixed Gaussian, which implies that asymptotic inference can be conducted using the ¿ sup2/sup distribution. It is shown to what extent inference on the cointegration ranks can be conducted using the tables already prepared for the analysis of cointegration of I(1) variables. New tables are needed for the test statistics to control the size of the tests. This paper contains a multivariate test for the existence of I(2) variables. This test is illustrated using a data set consisting of U.K. and foreign prices and interest rates as well as the exchange rate.",
author = "S{\o}ren Johansen",
year = "1995",
language = "English",
volume = "11",
pages = "25--59",
journal = "Econometric Theory",
issn = "0266-4666",
publisher = "Cambridge University Press",
number = "1",

}

RIS

TY - JOUR

T1 - A Statistical Analysis of Cointegration for I(2) Variables

AU - Johansen, Søren

PY - 1995

Y1 - 1995

N2 - This paper discusses inference for I(2) variables in a VAR model. The estimation procedure suggested consists of two reduced rank regressions. The asymptotic distribution of the proposed estimators of the cointegrating coefficients is mixed Gaussian, which implies that asymptotic inference can be conducted using the ¿ sup2/sup distribution. It is shown to what extent inference on the cointegration ranks can be conducted using the tables already prepared for the analysis of cointegration of I(1) variables. New tables are needed for the test statistics to control the size of the tests. This paper contains a multivariate test for the existence of I(2) variables. This test is illustrated using a data set consisting of U.K. and foreign prices and interest rates as well as the exchange rate.

AB - This paper discusses inference for I(2) variables in a VAR model. The estimation procedure suggested consists of two reduced rank regressions. The asymptotic distribution of the proposed estimators of the cointegrating coefficients is mixed Gaussian, which implies that asymptotic inference can be conducted using the ¿ sup2/sup distribution. It is shown to what extent inference on the cointegration ranks can be conducted using the tables already prepared for the analysis of cointegration of I(1) variables. New tables are needed for the test statistics to control the size of the tests. This paper contains a multivariate test for the existence of I(2) variables. This test is illustrated using a data set consisting of U.K. and foreign prices and interest rates as well as the exchange rate.

M3 - Journal article

VL - 11

SP - 25

EP - 59

JO - Econometric Theory

JF - Econometric Theory

SN - 0266-4666

IS - 1

ER -

ID: 9226635