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A Review of the Econometric Analysis of I(2) Variables

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Author Info
Haldrup, N. (Department of Economics, University of Aarhus, Denmark)

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Abstract

This paper provides a survey of the recent literature dealing with 1(2) variables in economic time series, that is, processes that require to be differenced twice in order to become stationary. With reference to particular models intuition is provided of why 1(2) and polynomial cointegration are features likely to occur in economics.

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Publisher Info
Paper provided by School of Economics and Management, University of Aarhus in its series Economics Working Papers with number 1997-12.

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Length: 79 pages
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Handle: RePEc:aah:aarhec:1997-12

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Web page: http://www.econ.au.dk/afn/

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Related research
Keywords: ECONOMETRICS; STATISTICS;

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Find related papers by JEL classification:
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions
C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General

Cited by:
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  1. Philipp J.H. Schroeder, . "How Stakes in Restructuring put Restructuring at Stake," Economics Working Papers 1998-1, School of Economics and Management, University of Aarhus. [Downloadable!]
  2. Heino Nielsen & Christopher Bowdler, 2006. "Inflation adjustment in the open economy: an I(2) analysis of UK prices," Empirical Economics, Springer, vol. 31(3), pages 569-586, September. [Downloadable!] (restricted)
    Other versions:
  3. Antonio Montanes & Andreu Sanso, 2001. "The Dickey-Fuller Test Family and Changes in the Seasonal Pattern," Annales d'Economie et de Statistique, ADRES, issue 61, pages 06, Janvier-M. [Downloadable!]
  4. Liu, Hui & Rodríguez, Gabriel, 2005. "Human activities and global warming: a cointegration analysis," MPRA Paper 9939, University Library of Munich, Germany. [Downloadable!]
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