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An I(2) cointegration analysis of small-country import price determination

  • Hans Christian Kongsted
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    This paper develops a procedure for testing hypotheses on the full set of cointegration parameters of the I(2) model. It applies this procedure to the analysis of small-country import price determination, extending the standard empirical framework to allow for variables integrated of order two. The empirical analysis of Danish data for 1975--1995 yields a fully specified long-run structure of the I(2) model in terms of stationary pricing-to-market and inventory relations, a nominal second-order stochastic trend embodied in equal proportions in domestic and foreign price levels, and a real first-order trend driving the relative prices and the real interest rate. Copyright Royal Economic Society, 2003

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    Article provided by Royal Economic Society in its journal The Econometrics Journal.

    Volume (Year): 6 (2003)
    Issue (Month): 1 (06)
    Pages: 53-71

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    Handle: RePEc:ect:emjrnl:v:6:y:2003:i:1:p:53-71
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