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Statistical analysis of hypotheses on the cointegrating relations in the I(2) model

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  • Johansen, Soren

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  • 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.
    • Handle: RePEc:eee:econom:v:132:y:2006:i:1:p:81-115
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    1. Stock, James H & Watson, Mark W, 1993. "A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems," Econometrica, Econometric Society, vol. 61(4), pages 783-820, July.
    2. Boswijk, H. Peter, 2000. "Mixed Normality And Ancillarity In I(2) Systems," Econometric Theory, Cambridge University Press, vol. 16(6), pages 878-904, December.
    3. Paruolo, Paolo, 2000. "Asymptotic Efficiency Of The Two Stage Estimator In I (2) Systems," Econometric Theory, Cambridge University Press, vol. 16(4), pages 524-550, August.
    4. Johansen, Søren, 1992. "A Representation of Vector Autoregressive Processes Integrated of Order 2," Econometric Theory, Cambridge University Press, vol. 8(2), pages 188-202, June.
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