Hostname: page-component-cd9895bd7-jn8rn Total loading time: 0 Render date: 2024-12-27T02:34:16.025Z Has data issue: false hasContentIssue false
  • English
  • Français

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

Published online by Cambridge University Press:  08 June 2004

Paolo Paruolo
Paolo Paruolo
Affiliation:
University of Insubria, Varese, Italy
Get access Rights & Permissions [Opens in a new window]

Extract

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.

Type
PROBLEMS AND SOLUTIONS
Information
Econometric Theory , Volume 20 , Issue 3 , June 2004 , pp. 639 - 640
Copyright
© 2004 Cambridge University Press

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

REFERENCES

Johansen, S. (1992) A representation of vector autoregressive processes integrated of order 2. Econometric Theory 8, 188–202.Google Scholar
Johansen, S. (1996) Likelihood-Based Inference in Cointegrated Vector Auto-regressive Models. Oxford University Press.
Johansen, S. (1997) A likelihood analysis of the I(2) model. Scandinavian Journal of Statistics 24, 433–462.Google Scholar