This paper discusses identification within a new parametrization for I(2) systems, where the integral and proportional control cointegrating relations are not necessarily orthogonal. The new parametrization, while equivalent to previously proposed ones, gives more flexibility in choosing the variables to include in first differences in the integral and proportional control term. We discuss the joint identification of the cointegrating relations, providing rank and order conditions. We discuss likelihood estimation, and propose a simple alternating algorithm for likelihood-maximization, under the cases of under- exact- and over-identification. An illustration on US consumption is also presented
Abstract: This paper presents the likelihood ratio (LR) test for the number of cointegrating and mul...
Abstract: This paper presents likelihood analysis of the I(2) cointegrated vector autoregression wit...
This paper presents a discussion of cointegration amongst I(2) variables and provides a synthesis of...
This paper discusses identification within a new parametrization for I(2) systems, where the integra...
This paper discusses identification of systems of cointegrating relations in I(2) vector autoregress...
This paper stipulates conditions for identifiability of the parameters of a cointegrated VAR model u...
We show that the usual rank condition is necessary and sufficient to identify a vector autoregressiv...
A survey is given of some results obtained for the cointegrated VAR. The Granger representation theo...
A survey is given of some results obtained for the cointegrated VAR. The Granger representation theo...
This article analyzes the identification and normalization of cointegrating vectors. Normalizing a c...
We give a brief introduction to the vector autoregressive model for cointegrated I(2) variables and ...
We characterize the restrictions imposed by the minimal I(2)-to-I(1) transformation that underlies m...
This paper discusses identification of systems of simultaneous cointegrating equations with integrat...
Estimation of the I(2) cointegrated vector autoregressive (CVAR) model is considered. Without furthe...
Estimation of the I(2) cointegrated vector autoregressive (CVAR) model is considered. Without furthe...
Abstract: This paper presents the likelihood ratio (LR) test for the number of cointegrating and mul...
Abstract: This paper presents likelihood analysis of the I(2) cointegrated vector autoregression wit...
This paper presents a discussion of cointegration amongst I(2) variables and provides a synthesis of...
This paper discusses identification within a new parametrization for I(2) systems, where the integra...
This paper discusses identification of systems of cointegrating relations in I(2) vector autoregress...
This paper stipulates conditions for identifiability of the parameters of a cointegrated VAR model u...
We show that the usual rank condition is necessary and sufficient to identify a vector autoregressiv...
A survey is given of some results obtained for the cointegrated VAR. The Granger representation theo...
A survey is given of some results obtained for the cointegrated VAR. The Granger representation theo...
This article analyzes the identification and normalization of cointegrating vectors. Normalizing a c...
We give a brief introduction to the vector autoregressive model for cointegrated I(2) variables and ...
We characterize the restrictions imposed by the minimal I(2)-to-I(1) transformation that underlies m...
This paper discusses identification of systems of simultaneous cointegrating equations with integrat...
Estimation of the I(2) cointegrated vector autoregressive (CVAR) model is considered. Without furthe...
Estimation of the I(2) cointegrated vector autoregressive (CVAR) model is considered. Without furthe...
Abstract: This paper presents the likelihood ratio (LR) test for the number of cointegrating and mul...
Abstract: This paper presents likelihood analysis of the I(2) cointegrated vector autoregression wit...
This paper presents a discussion of cointegration amongst I(2) variables and provides a synthesis of...