Mixed Normality And Ancillarity In I(2) Systems
No abstract is available for this item.
Volume (Year): 16 (2000)
Issue (Month): 06 (December)
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Web page: http://journals.cambridge.org/jid_ECT
- repec:gam:jecnmx:v:5:y:2017:i:4:p:49-:d:119536 is not listed on IDEAS
- Paruolo, Paolo, 2006.
"Common trends and cycles in I(2) VAR systems,"
Journal of Econometrics,
Elsevier, vol. 132(1), pages 143-168, May.
- Paruolo Paolo, 2003. "Common trends and cycles in I(2) VAR systems," Economics and Quantitative Methods qf0217bis, Department of Economics, University of Insubria.
- Paruolo Paolo, 2004. "Common trends and cycles in I(2) VAR systems," Economics and Quantitative Methods qf0217tris, Department of Economics, University of Insubria.
- repec:eee:econom:v:198:y:2017:i:2:p:271-276 is not listed on IDEAS
- H. Peter Boswijk & Jurgen A. Doornik, 2004. "Identifying, estimating and testing restricted cointegrated systems: An overview," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 58(4), pages 440-465.
- 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.
- Kristensen, Dennis & Rahbek, Anders, 2010. "Likelihood-based inference for cointegration with nonlinear error-correction," Journal of Econometrics, Elsevier, vol. 158(1), pages 78-94, September.
- Johansen, Soren, 2006. "Statistical analysis of hypotheses on the cointegrating relations in the I(2) model," Journal of Econometrics, Elsevier, vol. 132(1), pages 81-115, May.
- 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.
- 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.
- Søren Johansen & Katarina Juselius & Roman Frydberg & Michael Goldberg, 2008. "Testing hypotheses in an I(2) model with applications to the persistent long swings in the Dmk/$ rate," CREATES Research Papers 2008-03, Department of Economics and Business Economics, Aarhus University.
- Helmut Lütkepohl, 2013. "Vector autoregressive models," Chapters,in: Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 6, pages 139-164 Edward Elgar Publishing.
- Helmut Luetkepohl, 2011. "Vector Autoregressive Models," Economics Working Papers ECO2011/30, European University Institute.
- Johansen, Søren & Juselius, Katarina & Frydman, Roman & Goldberg, Michael, 2010. "Testing hypotheses in an I(2) model with piecewise linear trends. An analysis of the persistent long swings in the Dmk/$ rate," Journal of Econometrics, Elsevier, vol. 158(1), pages 117-129, September.
- Helmut Luetkepohl, 2007. "Econometric Analysis with Vector Autoregressive Models," Economics Working Papers ECO2007/11, European University Institute.
- 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.
- repec:gam:jecnmx:v:5:y:2017:i:3:p:28-:d:103006 is not listed on IDEAS
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