An I(2) Cointegration Model with Piecewise Linear Trends: Likelihood Analysis and Application
Download full text from publisher
Other versions of this item:
- 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
- Diamandis, Panayiotis F. & Georgoutsos, Dimitris A. & Kouretas, Georgios P., 2000. "The monetary model in the presence of I(2) components: long-run relationships, short-run dynamics and forecasting of the Greek drachma," Journal of International Money and Finance, Elsevier, vol. 19(6), pages 917-941, December.
- Juselius, Katarina, 1998. "A Structured VAR for Denmark under Changing Monetary Regimes," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(4), pages 400-411, October.
- Perron, Pierre, 1989.
"The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis,"
Econometric Society, vol. 57(6), pages 1361-1401, November.
- Perron, P, 1988. "The Great Crash, The Oil Price Shock And The Unit Root Hypothesis," Papers 338, Princeton, Department of Economics - Econometric Research Program.
- Palumbo, Michael & Rudd, Jeremy & Whelan, Karl, 2006.
"On the Relationships Between Real Consumption, Income, and Wealth,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 24, pages 1-11, January.
- Karl Whelan & Michael Palumbo & Jeremy Rudd, 2002. "On the relationships between real consumption, income, and wealth," Open Access publications 10197/241, School of Economics, University College Dublin.
- Michael G. Palumbo & Jeremy B. Rudd & Karl Whelan, 2002. "On the relationships between real consumption, income and wealth," Finance and Economics Discussion Series 2002-38, Board of Governors of the Federal Reserve System (U.S.).
- Palumbo, Michael & Rudd, Jeremy & Whelan, Karl, 2002. "On the Relationships Between Real Consumption, Income, and Wealth," Research Technical Papers 4/RT/02, Central Bank of Ireland.
- Heino Nielsen & Christopher Bowdler, 2006.
"Inflation adjustment in the open economy: an I(2) analysis of UK prices,"
Springer, vol. 31(3), pages 569-586, September.
- Heino Bohn Nielsen & Christopher Bowdler, 2003. "Inflation Adjustment in the Open Economy: An I(2) Analysis of UK Prices," Economics Papers 2003-W05, Economics Group, Nuffield College, University of Oxford.
- Kongsted, Hans Christian, 2005. "Testing the nominal-to-real transformation," Journal of Econometrics, Elsevier, vol. 124(2), pages 205-225, February.
- Luca Fanelli & Emanuele Bacchiocchi, 2005. "Testing the purchasing power parity through I(2) cointegration techniques," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(6), pages 749-770.
- Doornik, Jurgen A, 1998.
" Approximations to the Asymptotic Distributions of Cointegration Tests,"
Journal of Economic Surveys,
Wiley Blackwell, vol. 12(5), pages 573-593, December.
- Jurgen A. Doornik, 1998. "Approximations To The Asymptotic Distributions Of Cointegration Tests," Journal of Economic Surveys, Wiley Blackwell, vol. 12(5), pages 573-593, December.
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)
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:aah:create:2009-28. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (). General contact details of provider: http://www.econ.au.dk/afn/ .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.