Weak exogeneity in I(2) VAR systems

Journal of Econometrics

Volumn 93, Issue 2, 1999, Pages 281-308

  Paruolo, Paolo ^a   Rahbek, Anders ^b  

^a UNIVERSITY OF BOLOGNA   (Italy)

^b UNIVERSITY OF COPENHAGEN   (Denmark)

Author keywords

Cointegration; I(2); Multi cointegration; Unit roots; Vector autoregressive systems; Weak exogeneity

Indexed keywords

EID: 0000341977     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(99)00012-3     Document Type: Article

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