Trend stationarity in the I(2) cointegration model

Anders Rahbek; Hans Christian Kongsted; Clara Jørgensen

doi:10.1016/S0304-4076(98)00044-X

Trend stationarity in the I(2) cointegration model

Anders Rahbek, Hans Christian Kongsted, Clara Jørgensen

Økonomisk Institut

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

69 Citationer (Scopus)

Abstract

Originalsprog	Engelsk
Tidsskrift	Journal of Econometrics
Vol/bind	90
Udgave nummer	2
Sider (fra-til)	265-289
ISSN	0304-4076
DOI	https://doi.org/10.1016/S0304-4076(98)00044-X
Status	Udgivet - 1999

Bibliografisk note

JEL Classification: C32, C51, C52

Adgang til dokumentet

10.1016/S0304-4076(98)00044-X

Citationsformater

@article{981e70c074c611dbbee902004c4f4f50,

title = "Trend stationarity in the I(2) cointegration model",

abstract = "A vector autoregressive model for I(2) processes which allows for trend-stationary components and restricts the deterministic part of the process to be at most linear is defined. A two-step statistical analysis of the model is derived. The joint test of I(1) and I(2) cointegrating ranks is shown to be asymptotically similar with respect to the drift terms and the asymptotic distribution is tabulated. The cointegrating parameters are shown to be mixed Gaussian and an application for UK monetary data illustrates the proposed analysis",

author = "Anders Rahbek and Kongsted, {Hans Christian} and Clara J{\o}rgensen",

note = "JEL Classification: C32, C51, C52",

year = "1999",

doi = "10.1016/S0304-4076(98)00044-X",

language = "English",

volume = "90",

pages = "265--289",

journal = "Journal of Econometrics",

issn = "0304-4076",

publisher = "Elsevier",

number = "2",

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TY - JOUR

T1 - Trend stationarity in the I(2) cointegration model

AU - Rahbek, Anders

AU - Kongsted, Hans Christian

AU - Jørgensen, Clara

N1 - JEL Classification: C32, C51, C52

PY - 1999

Y1 - 1999

N2 - A vector autoregressive model for I(2) processes which allows for trend-stationary components and restricts the deterministic part of the process to be at most linear is defined. A two-step statistical analysis of the model is derived. The joint test of I(1) and I(2) cointegrating ranks is shown to be asymptotically similar with respect to the drift terms and the asymptotic distribution is tabulated. The cointegrating parameters are shown to be mixed Gaussian and an application for UK monetary data illustrates the proposed analysis

AB - A vector autoregressive model for I(2) processes which allows for trend-stationary components and restricts the deterministic part of the process to be at most linear is defined. A two-step statistical analysis of the model is derived. The joint test of I(1) and I(2) cointegrating ranks is shown to be asymptotically similar with respect to the drift terms and the asymptotic distribution is tabulated. The cointegrating parameters are shown to be mixed Gaussian and an application for UK monetary data illustrates the proposed analysis

U2 - 10.1016/S0304-4076(98)00044-X

DO - 10.1016/S0304-4076(98)00044-X

M3 - Journal article

VL - 90

SP - 265

EP - 289

JO - Journal of Econometrics

JF - Journal of Econometrics

SN - 0304-4076

IS - 2

ER -