Trend stationarity in the I(2) cointegration model
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Trend stationarity in the I(2) cointegration model. / Rahbek, Anders; Kongsted, Hans Christian; Jørgensen, Clara.
I: Journal of Econometrics, Bind 90, Nr. 2, 1999, s. 265-289.Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt
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TY - JOUR
T1 - Trend stationarity in the I(2) cointegration model
AU - Rahbek, Anders
AU - Kongsted, Hans Christian
AU - Jørgensen, Clara
N1 - JEL Classification: C32, C51, C52
PY - 1999
Y1 - 1999
N2 - A vector autoregressive model for I(2) processes which allows for trend-stationary components and restricts the deterministic part of the process to be at most linear is defined. A two-step statistical analysis of the model is derived. The joint test of I(1) and I(2) cointegrating ranks is shown to be asymptotically similar with respect to the drift terms and the asymptotic distribution is tabulated. The cointegrating parameters are shown to be mixed Gaussian and an application for UK monetary data illustrates the proposed analysis
AB - A vector autoregressive model for I(2) processes which allows for trend-stationary components and restricts the deterministic part of the process to be at most linear is defined. A two-step statistical analysis of the model is derived. The joint test of I(1) and I(2) cointegrating ranks is shown to be asymptotically similar with respect to the drift terms and the asymptotic distribution is tabulated. The cointegrating parameters are shown to be mixed Gaussian and an application for UK monetary data illustrates the proposed analysis
U2 - 10.1016/S0304-4076(98)00044-X
DO - 10.1016/S0304-4076(98)00044-X
M3 - Journal article
VL - 90
SP - 265
EP - 289
JO - Journal of Econometrics
JF - Journal of Econometrics
SN - 0304-4076
IS - 2
ER -
ID: 153722