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

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Standard

Testing hypotheses in an I(2) model with piecewise linear trends. An analysis of the persistent long swings in the Dmk/$ rate. / Johansen, Søren; Juselius, Katarina; Frydman, Roman; Goldberg, Michael.

I: Journal of Econometrics, Bind 158, Nr. 1, 2010, s. 117-129.

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt

Harvard

Johansen, S, Juselius, K, Frydman, R & Goldberg, M 2010, 'Testing hypotheses in an I(2) model with piecewise linear trends. An analysis of the persistent long swings in the Dmk/$ rate', Journal of Econometrics, bind 158, nr. 1, s. 117-129. https://doi.org/10.1016/j.jeconom.2010.03.018

APA

Johansen, S., Juselius, K., Frydman, R., & Goldberg, M. (2010). Testing hypotheses in an I(2) model with piecewise linear trends. An analysis of the persistent long swings in the Dmk/$ rate. Journal of Econometrics, 158(1), 117-129. https://doi.org/10.1016/j.jeconom.2010.03.018

Vancouver

Johansen S, Juselius K, Frydman R, Goldberg M. Testing hypotheses in an I(2) model with piecewise linear trends. An analysis of the persistent long swings in the Dmk/$ rate. Journal of Econometrics. 2010;158(1):117-129. https://doi.org/10.1016/j.jeconom.2010.03.018

Author

Johansen, Søren ; Juselius, Katarina ; Frydman, Roman ; Goldberg, Michael. / Testing hypotheses in an I(2) model with piecewise linear trends. An analysis of the persistent long swings in the Dmk/$ rate. I: Journal of Econometrics. 2010 ; Bind 158, Nr. 1. s. 117-129.

Bibtex

@article{4faf2300949511df928f000ea68e967b,
title = "Testing hypotheses in an I(2) model with piecewise linear trends. An analysis of the persistent long swings in the Dmk/$ rate",
abstract = "This paper discusses the I(2) model with breaks in the deterministic component and illustrates with an analysis of German and US prices, exchange rates, and interest rates in 1975--1999. It provides new results on the likelihood ratio test of overidentifying restrictions on the cointegrating relations when they contain piecewise linear trends. One important aim of the paper is to demonstrate that a structured I(2) analysis is useful for a better understanding of the empirical regularities underlying the persistent swings in nominal exchange rates, typical in periods of floating exchange rates.",
keywords = "Faculty of Social Sciences, PPP, long swings puzzle, cointegrated VAR, test of overidentification",
author = "S{\o}ren Johansen and Katarina Juselius and Roman Frydman and Michael Goldberg",
note = "JEL classification: C32, C52, F41",
year = "2010",
doi = "10.1016/j.jeconom.2010.03.018",
language = "English",
volume = "158",
pages = "117--129",
journal = "Journal of Econometrics",
issn = "0304-4076",
publisher = "Elsevier",
number = "1",

}

RIS

TY - JOUR

T1 - Testing hypotheses in an I(2) model with piecewise linear trends. An analysis of the persistent long swings in the Dmk/$ rate

AU - Johansen, Søren

AU - Juselius, Katarina

AU - Frydman, Roman

AU - Goldberg, Michael

N1 - JEL classification: C32, C52, F41

PY - 2010

Y1 - 2010

N2 - This paper discusses the I(2) model with breaks in the deterministic component and illustrates with an analysis of German and US prices, exchange rates, and interest rates in 1975--1999. It provides new results on the likelihood ratio test of overidentifying restrictions on the cointegrating relations when they contain piecewise linear trends. One important aim of the paper is to demonstrate that a structured I(2) analysis is useful for a better understanding of the empirical regularities underlying the persistent swings in nominal exchange rates, typical in periods of floating exchange rates.

AB - This paper discusses the I(2) model with breaks in the deterministic component and illustrates with an analysis of German and US prices, exchange rates, and interest rates in 1975--1999. It provides new results on the likelihood ratio test of overidentifying restrictions on the cointegrating relations when they contain piecewise linear trends. One important aim of the paper is to demonstrate that a structured I(2) analysis is useful for a better understanding of the empirical regularities underlying the persistent swings in nominal exchange rates, typical in periods of floating exchange rates.

KW - Faculty of Social Sciences

KW - PPP

KW - long swings puzzle

KW - cointegrated VAR

KW - test of overidentification

U2 - 10.1016/j.jeconom.2010.03.018

DO - 10.1016/j.jeconom.2010.03.018

M3 - Journal article

VL - 158

SP - 117

EP - 129

JO - Journal of Econometrics

JF - Journal of Econometrics

SN - 0304-4076

IS - 1

ER -

ID: 20943732