On the determination of integration indices in I(2) systems
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- Johansen, Soren, 1992.
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- Gregoir, Stéphane & Laroque, Guy, 1993. "Multivariate Time Series: A Polynomial Error Correction Representation Theorem," Econometric Theory, Cambridge University Press, vol. 9(03), pages 329-342, June.
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"A Stastistical Analysis of Cointegration for I(2) Variables,"
Cambridge University Press, vol. 11(01), pages 25-59, February.
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- Johansen, Soren, 1992.
"Testing weak exogeneity and the order of cointegration in UK money demand data,"
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- Johansen, Søren, 1992. "A Representation of Vector Autoregressive Processes Integrated of Order 2," Econometric Theory, Cambridge University Press, vol. 8(02), pages 188-202, June.
- Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November.
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