Cointegration Analysis in the Case of I(2) – General Overview
AbstractThe presented paper aims to analyse both statistical and economic aspects of the model with I(2) variables. The statistical foundations of such models are introduced. The enlargement of possible statistical interpretation is discussed. The economic interpretation of both VECM parameters and common stochastic trends representation is considered in the I(2) domain. The returns of I(2) approach in terms of stock-flows, nominal-real analysis and diasggregation into both long-, short and even medium-run analysis are proved. Potential complications under reflecting I(3) variables are presented.
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Bibliographic InfoArticle provided by CEJEME in its journal Central European Journal of Economic Modelling and Econometrics.
Volume (Year): 4 (2012)
Issue (Month): 4 (December)
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Web page: http://cejeme.org/
cointegration; I(2) model; VAR;
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
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