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Asymptotic Efficiency Of The Two Stage Estimator In I (2) Systems

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  • Paruolo, Paolo

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Bibliographic Info

Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 16 (2000)
Issue (Month): 04 (August)
Pages: 524-550

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Handle: RePEc:cup:etheor:v:16:y:2000:i:04:p:524-550_16

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Cited by:
  1. Holtemöller, Oliver, 2002. "Money and prices: An I(2) analysis for the euro area," SFB 373 Discussion Papers 2002,12, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  2. Paruolo Paolo, 2004. "Common trends and cycles in I(2) VAR systems," Economics and Quantitative Methods, Department of Economics, University of Insubria qf0217tris, Department of Economics, University of Insubria.
  3. Mosconi, Rocco & Paruolo, Paolo, 2014. "Rank and order conditions for identification in simultaneous system of cointegrating equations with integrated variables of order two," MPRA Paper 53589, University Library of Munich, Germany.
  4. Juselius, Katarina, 1995. "Do purchasing power parity and uncovered interest rate parity hold in the long run? An example of likelihood inference in a multivariate time-series model," Journal of Econometrics, Elsevier, Elsevier, vol. 69(1), pages 211-240, September.
  5. Søren Johansen & Katarina Juselius & Roman Frydman & Michael Goldberg, 2007. "Testing Hypotheses in an I(2) Model with Applications to the Persistent Long Swings in the Dmk/$ Rate," Discussion Papers 07-34, University of Copenhagen. Department of Economics.
  6. Takamitsu Kurita, 2009. "A note on testing parameter constancy in cointegrated vector autoregression: the case of near I(2) processes," Economics Bulletin, AccessEcon, vol. 29(2), pages 575-587.
  7. Johansen, S., 1999. "A Small Sample Correction for Tests of Hypotheses on the Cointegrating Vectors," Economics Working Papers, European University Institute eco99/9, European University Institute.
  8. Roman Frydman & Michael D. Goldberg & Søren Johansen & Katarina Juselius, 2008. "A Resolution of the Purchasing Power Parity Puzzle: Imperfect Knowledge and Long Swings," Discussion Papers 08-31, University of Copenhagen. Department of Economics.
  9. Dimitris Georgoutsos & Georgios Kouretas, 2004. "A Multivariate I(2) cointegration analysis of German hyperinflation," Applied Financial Economics, Taylor & Francis Journals, vol. 14(1), pages 29-41.
  10. Omtzigt Pieter & Paruolo Paolo, 2002. "Impact factors," Economics and Quantitative Methods, Department of Economics, University of Insubria qf0203, Department of Economics, University of Insubria.
  11. Nielsen, Heino Bohn, 2007. "A "maximum-eigenvalue" test for the cointegration ranks in I(2) vector autoregressions," Economics Letters, Elsevier, vol. 94(3), pages 445-451, March.
  12. Paruolo Paolo, 2002. "Testing for common trends in conditional I(2) VAR models," Economics and Quantitative Methods, Department of Economics, University of Insubria qf0216, Department of Economics, University of Insubria.
  13. Kouretas, Georgios P. & Yannopoulos, Andreas, 2006. "Dynamic modelling of trade union behaviour: Evidence from the Greek manufacturing sector," Economic Modelling, Elsevier, vol. 23(2), pages 316-338, March.
  14. Majocchi Antonio & Pavione Enrica, 2002. "International franchising in Italy: trends and perspectives," Economics and Quantitative Methods, Department of Economics, University of Insubria qf0215, Department of Economics, University of Insubria.
  15. Heino Bohn Nielsen & Anders Rahbek, 2003. "Likelihood Ratio Testing for Cointegration Ranks in I(2) Models," Discussion Papers 03-42, University of Copenhagen. Department of Economics.

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