Estimation of Cointegrated Systems with I(2) Processes
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Cited by:
- Dolado, Juan J. & Marmol, Francesc, 1997.
"On the properties of the Dickey-Pantula test against fractional alternatives,"
Economics Letters, Elsevier, vol. 57(1), pages 11-16, November.
- Mármol, Francesc, 1997. "On the properties of the Dickey-Pantula test against fractional alternatives," DES - Working Papers. Statistics and Econometrics. WS 4549, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Paruolo Paolo, 2002. "Testing for common trends in conditional I(2) VAR models," Economics and Quantitative Methods qf0216, Department of Economics, University of Insubria.
- Engsted, Tom & Gonzalo, Jesus & Haldrup, Niels, 1997. "Testing for multicointegration," Economics Letters, Elsevier, vol. 56(3), pages 259-266, November.
- Cassim, Lucius, 2020. "A Residual-based Test For Multicointegration In Models With Structural Breaks And Threshold Adjustment To Steady State," MPRA Paper 101453, University Library of Munich, Germany.
- Paolo Paruolo & Rocco Mosconi, 2010. "Identification of cointegrating relations in I(2) vector autoregressive models," Economics and Quantitative Methods qf1007, Department of Economics, University of Insubria.
- Dong Shin & Man-Suk Oh, 2003. "Tests for the order of integration against higher order integration," Statistical Papers, Springer, vol. 44(3), pages 383-396, July.
- Mosconi, Rocco & Paruolo, Paolo, 2014. "Rank and order conditions for identification in simultaneous system of cointegrating equations with integrated variables of order two," MPRA Paper 53589, University Library of Munich, Germany.
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