The role of the drift in I(2) systems
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Volume (Year): 3 (1994)
Issue (Month): 1 (February)
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- Johansen, Soren, 1992.
"Testing weak exogeneity and the order of cointegration in UK money demand data,"
Journal of Policy Modeling,
Elsevier, vol. 14(3), pages 313-334, June.
- Johansen, S., 1991. "Testing Weak Exogeneity and the Order of Cointegration in UK Money Demand Data," Papers 78, Helsinki - Department of Economics.
- Osterwald-Lenum, Michael, 1992. "A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 461-72, August.
- Paruolo, Paolo, 2002.
"Asymptotic Inference On The Moving Average Impact Matrix In Cointegrated I (2) Var Systems,"
Cambridge University Press, vol. 18(03), pages 673-690, June.
- Paruolo, Paolo, 1997. "Asymptotic Inference on the Moving Average Impact Matrix in Cointegrated 1(1) VAR Systems," Econometric Theory, Cambridge University Press, vol. 13(01), pages 79-118, February.
- Peter C.B. Phillips, 1988.
"Optimal Inference in Cointegrated Systems,"
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866R, Cowles Foundation for Research in Economics, Yale University, revised Aug 1989.
- 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.
- Paruolo, Paolo, 1996. "On the determination of integration indices in I(2) systems," Journal of Econometrics, Elsevier, vol. 72(1-2), pages 313-356.
- 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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