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04.3.1 An I(2) Model for VAR(1) Processes

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  • Paruolo, Paolo

Abstract

This problem discusses an I(2) model in the VAR(1) case. The I(2) representation theorem of Johansen (1992) (JRT) holds also for VAR(1) processes. The I(2) model for VAR(k) processes has been discussed for k ≥ 2 in Johansen (1996, Ch. 9; 1997). We here discuss a parametrization for the I(2) case of VAR(1) that differs from the VAR(k) model.

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  • Paruolo, Paolo, 2004. "04.3.1 An I(2) Model for VAR(1) Processes," Econometric Theory, Cambridge University Press, vol. 20(3), pages 639-640, June.
    • Handle: RePEc:cup:etheor:v:20:y:2004:i:03:p:639-640_20
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    1. Franchi, Massimo & Paruolo, Paolo, 2011. "A characterization of vector autoregressive processes with common cyclical features," Journal of Econometrics, Elsevier, vol. 163(1), pages 105-117, July.

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