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Statistical analysis of hypotheses on the cointegrating relations in the I(2) model

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  • Johansen, Soren

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 132 (2006)
Issue (Month): 1 (May)
Pages: 81-115

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Handle: RePEc:eee:econom:v:132:y:2006:i:1:p:81-115

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Web page: http://www.elsevier.com/locate/jeconom

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Cited by:
  1. 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.
  2. Boriss Siliverstovs, . "Multicointegration in US consumption data," Economics Working Papers 2001-6, School of Economics and Management, University of Aarhus.
  3. Marcus Scheiblecker, 2012. "Between Cointegration and Multicointegration. Modelling Time Series Dynamics by Cumulative Error Correction Models," WIFO Working Papers 431, WIFO.
  4. 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.
  5. Helmut Luetkepohl, 2011. "Vector Autoregressive Models," Economics Working Papers ECO2011/30, European University Institute.
  6. H. Peter Boswijk & Jurgen Doornik, 2003. "Identifying, Estimating and Testing Restricted Cointegrated Systems: An Overview," Economics Papers 2003-W10, Economics Group, Nuffield College, University of Oxford.
  7. 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.
  8. Marcus Scheiblecker, 2012. "Modelling Short-run Money Demand for the USA," WIFO Working Papers 442, WIFO.

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