An I(2) Cointegration Model with Piecewise Linear Trends: Likelihood Analysis and Application
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- Takamitsu Kurita & Heino Bohn Nielsen & Anders Rahbek, 2009. "An I(2) Cointegration Model With Piecewise Linear Trends: Likelihood Analysis And Application," Discussion Papers 09-13, University of Copenhagen. Department of Economics.
References listed on IDEAS
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More about this item
KeywordsCointegration; I(2); Piecewise linear trends; Likelihood analysis; US consumption;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2009-07-11 (All new papers)
- NEP-ECM-2009-07-11 (Econometrics)
- NEP-ETS-2009-07-11 (Econometric Time Series)
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