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Trend-Stationarity in the I(2) Cointegration Model

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Author Info

  • Clara Jørgensen

    (Danish Computer Centre for Research and Education)

  • Hans Christian Kongsted

    (Institute of Economics, University of Copenhagen)

  • Anders Rahbek

    (Institute of Mathematical Statistics, University of Copenhagen)

Abstract

A representation for I(2) processes is derived which allows for trend-stationary components and restricts the deterministic part of the process to be at most linear. 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. The asymptotic distribution is tabulated and an application for UK monetary data illustrates the proposed statistical methods.

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Bibliographic Info

Paper provided by University of Copenhagen. Department of Economics in its series Discussion Papers with number 96-12.

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Length: 33 pages
Date of creation: Jun 1996
Date of revision:
Publication status: Published in: Journal of Econometrics, 90(2) 1999, pp 265-89
Handle: RePEc:kud:kuiedp:9612

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Related research

Keywords: cointegration; I(2); trend-stationarity; similarity; U.K. money demand;

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