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Statistical analysis of hypotheses on the cointegrating relations in the I(2) model

Citations

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Cited by:

  1. Piotr Wdowiński, 2011. "Model monetarny kursu równowagi złoty/euro: analiza kointegracyjna," Gospodarka Narodowa. The Polish Journal of Economics, Warsaw School of Economics, issue 3, pages 67-86.
  2. Johansen, Søren & Nielsen, Morten Ørregaard, 2018. "The cointegrated vector autoregressive model with general deterministic terms," Journal of Econometrics, Elsevier, vol. 202(2), pages 214-229.
  3. Katarina Juselius, 2021. "Searching for a Theory That Fits the Data: A Personal Research Odyssey," Econometrics, MDPI, vol. 9(1), pages 1-27, February.
  4. Juselius, Katarina, 2014. "Testing for near I(2) trends when the signal-to-noise ratio is small," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 8, pages 1-30.
  5. Roman Frydman & Michael D. Goldberg & Søren Johansen & Katarina Juselius, 2008. "A Resolution of the Purchasing Power Parity Puzzle: Imperfect Knowledge and Long Swings," Discussion Papers 08-31, University of Copenhagen. Department of Economics.
  6. Katarina Juselius, 2017. "Using a Theory-Consistent CVAR Scenario to Test an Exchange Rate Model Based on Imperfect Knowledge," Econometrics, MDPI, vol. 5(3), pages 1-20, July.
  7. H. Peter Boswijk & Jurgen A. Doornik, 2004. "Identifying, estimating and testing restricted cointegrated systems: An overview," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 58(4), pages 440-465, November.
  8. Kurita, Takamitsu, 2020. "Likelihood-based tests for parameter constancy in I(2) CVAR models with an application to fixed-term deposit data," Journal of Multivariate Analysis, Elsevier, vol. 178(C).
  9. Katarina Juselius, 2017. "A CVAR scenario for a standard monetary model using theory-consistent expectations," Discussion Papers 17-08, University of Copenhagen. Department of Economics.
  10. Marcus Scheiblecker, 2017. "Modelling Short-run Money Demand for the US," Applied Economics and Finance, Redfame publishing, vol. 4(5), pages 9-20, September.
  11. Takamitsu Kurita, 2009. "A note on testing parameter constancy in cointegrated vector autoregression: the case of near I(2) processes," Economics Bulletin, AccessEcon, vol. 29(2), pages 575-587.
  12. Boriss Siliverstovs, 2006. "Multicointegration in US consumption data," Applied Economics, Taylor & Francis Journals, vol. 38(7), pages 819-833.
  13. Dietmar Bauer & Lukas Matuschek & Patrick de Matos Ribeiro & Martin Wagner, 2020. "A Parameterization of Models for Unit Root Processes: Structure Theory and Hypothesis Testing," Econometrics, MDPI, vol. 8(4), pages 1-54, November.
  14. Andreas Hetland & Simon Hetland, 2017. "Short-Term Expectation Formation Versus Long-Term Equilibrium Conditions: The Danish Housing Market," Econometrics, MDPI, vol. 5(3), pages 1-21, September.
  15. Scheiblecker, Marcus, 2013. "Between cointegration and multicointegration: Modelling time series dynamics by cumulative error correction models," Economic Modelling, Elsevier, vol. 31(C), pages 511-517.
  16. Søren Johansen & Katarina Juselius & Roman Frydman & Michael Goldberg, 2007. "Testing Hypotheses in an I(2) Model with Applications to the Persistent Long Swings in the Dmk/$ Rate," Discussion Papers 07-34, University of Copenhagen. Department of Economics.
  17. Kheifets, Igor L. & Phillips, Peter C.B., 2023. "Fully modified least squares cointegrating parameter estimation in multicointegrated systems," Journal of Econometrics, Elsevier, vol. 232(2), pages 300-319.
  18. Phillips, Peter C.B. & Kheifets, Igor L., 2024. "High-dimensional IV cointegration estimation and inference," Journal of Econometrics, Elsevier, vol. 238(2).
  19. Helmut Lütkepohl, 2013. "Vector autoregressive models," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 6, pages 139-164, Edward Elgar Publishing.
  20. Doszyń Mariusz, 2012. "Econometric Analysis of the Impact of Propensities on Economic Occurrences: A Macroeconomic Perspective," Folia Oeconomica Stetinensia, Sciendo, vol. 10(2), pages 138-154, January.
  21. Assenmacher-Wesche, Katrin & Beyer, Andreas, 2019. "A cointegration model of money and wealth," CFS Working Paper Series 619, Center for Financial Studies (CFS).
  22. Johansen, Søren & Juselius, Katarina & Frydman, Roman & Goldberg, Michael, 2010. "Testing hypotheses in an I(2) model with piecewise linear trends. An analysis of the persistent long swings in the Dmk/$ rate," Journal of Econometrics, Elsevier, vol. 158(1), pages 117-129, September.
  23. Juselius, Katarina & Dimelis, Sophia, 2019. "The Greek crisis: A story of self-reinforcing feedback mechanisms," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 13, pages 1-22.
  24. Leonardo Salazar, 2017. "Modeling Real Exchange Rate Persistence in Chile," Econometrics, MDPI, vol. 5(3), pages 1-21, July.
  25. Josh R. Stillwagon, 2015. "Exchange Rate Dynamics and Forecast Errors about Persistently Trending Fundamentals," Working Papers 1501, Trinity College, Department of Economics.
  26. Helmut Luetkepohl, 2007. "Econometric Analysis with Vector Autoregressive Models," Economics Working Papers ECO2007/11, European University Institute.
  27. 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.
  28. H. Peter Boswijk & Paolo Paruolo, 2017. "Likelihood Ratio Tests of Restrictions on Common Trends Loading Matrices in I(2) VAR Systems," Econometrics, MDPI, vol. 5(3), pages 1-17, June.
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