Asymptotic inference on the moving average impact matrix in cointegrated I(2) var systems

Econometric Theory

Volumn 18, Issue 3, 2002, Pages 673-690

  Paruolo, Paolo ^a  

^a UNIVERSITY OF INSUBRIA   (Italy)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0036015419     PISSN: 02664666     EISSN: None     Source Type: Journal    
DOI: 10.1017/S0266466602183058     Document Type: Article

References (25)

1. Bedini, C. & R. Mosconi (2000) New Tools for the Dynamic Analysis of Cointegrated VAR Models. Mimeo, Department of Economics and Production, Politecnico di Milano, Italy.
2. Doornik, J., D. Hendry, & B. Nielsen (1998) Inference in cointegrating models: UK Ml revisited. Journal of Economic Surveys 12, 533-540.
3. Johansen, S. (1992) A representation of vector autoregressive processes integrated of order 2. Econometric Theory 8, 188-202.
4. Johansen, S. (1995) A statistical analysis of cointegration for I(2) variables. Econometric Theory 11, 25-59.
5. Johansen, S. (1996) Likelihood-Based Inference in Cointegrated Vector Autoregressive Models, second printing. Oxford: Oxford University Press.
6. Johansen, S. (1997) A likelihood analysis of the I(2) model. Scandinavian Journal of Statistics 24, 433-462.
7. Johansen, S. (1999) Common Trends in the Cointegrated VAR Models. Mimeo, Department of Economics, European University Institute, Fiesole (Fi), Italy.
8. Johansen, S. (2000) Testing Hypotheses in the I(2) Model. Mimeo, Department of Economics, European University Institute, Fiesole (Fi), Italy.
9. Juselius, K. (1994) On the duality between long-run relations and common trends in the I(1) and I(2) case. An application to aggregate money holdings. Econometric Reviews 13, 151-178.
10. Juselius, K. (1995) Do purchasing power parity and uncovered interest rate parity hold in the long run? An example of likelihood inference in a multivariate time series model. Journal of Econometrics 69, 211-240.
11. Kitamura, Y. (1995) Estimation of cointegrated systems with I(2) processes. Econometric Theory 11, 1-24.
12. Omtzigt, P. & P. Paruolo (2002) Impact Factors. Working paper in Economics 2002/4, Università dell'Insubria (Va), Italy.
13. Paruolo, P. (1996) On the determination of integration indices in I(2) systems. Journal of Econometrics 72, 313-356.
14. Paruolo, P. (1997a) Asymptotic inference on the moving average impact matrix in cointegrated I(1) VAR systems. Econometric Theory 13, 79-118.
15. Paruolo, P. (1997b) Standard errors for the long-run variance matrix. Econometric Theory 13, Problem 97.1.1, 305; Econometric Theory 14, Solution 97.1.1, 152-153.
16. Paruolo, P. (1997b) Standard errors for the long-run variance matrix. Econometric Theory 13, Problem 97.1.1, 305; Econometric Theory 14, Solution 97.1.1, 152-153.
17. Paruolo, P. (2000) Asymptotic efficiency of the two stage estimator in I(2) systems. Econometric Theory 16, 524-550.
18. Paruolo, P. & A. Rahbek (1999) Weak exogeneity in I(2) VAR systems. Journal of Econometrics 93, 281-308.
19. Phillips, P.C.B. (1998) Impulse response and forecast error variance asymptotics in nonstationary VARs. Journal of Econometrics 83, 21-56.
20. Phillips, P.C.B. & Y. Chang (1994) Fully modified least squares in I(2) regression. Econometric Theory 10, Problem 94.5.1, 967.
21. Proietti, T. (1997) Short run dynamics in cointegrated systems. Oxford Bulletin of Economics and Statistics 59, 405-422.
22. Rahbek, A., H.C. Kongsted, & C. Jørgensen (1999) Trend-stationarity in the I(2) cointegration model. Journal of Econometrics 90, 265-289.
23. Srivastava, M.S. & C.G. Khatri (1979) An Introduction to Multivariate Statistics. New York: Elsevier North-Holland.
24. Stock, J. & Watson, M. (1988) Testing for common trends. Journal of the American Statistical Association 83, 1097-1107.
25. Stock, J. & Watson M. (1993) A simple estimator of cointegrating vectors in higher order integrated systems. Econometrica 61, 783-820.