Likelihood analysis of the I(2) model

Publikation: Bidrag til tidsskriftTidsskriftartikelfagfællebedømt

The I(2) model is defined as a submodel of the general vector autoregressive model, by two reduced rank conditions. The model describes stochastic processes with stationary second difference. A parametrization is suggested which makes likelihood inference feasible. Consistency of the maximum likelihood estimator is proved, and the asymptotic distribution of the maximum likelihood estimator is given. It is shown that the asymptotic distribution is either Gaussian, mixed Gaussian or, in some cases, even more complicated.
OriginalsprogEngelsk
TidsskriftScandinavian Journal of Statistics
Vol/bind24
Udgave nummer4
Sider (fra-til)433-462
Antal sider30
ISSN0303-6898
DOI
StatusUdgivet - 1997

ID: 9969227