Hostname: page-component-586b7cd67f-gb8f7 Total loading time: 0 Render date: 2024-11-22T05:08:03.988Z Has data issue: false hasContentIssue false
  • English
  • Français

A NOTE ON TESTING RESTRICTIONS FOR THE COINTEGRATION PARAMETERS OF A VAR WITH I(2) VARIABLES

Published online by Cambridge University Press:  22 April 2005

Søren Johansen  and
Helmut Lütkepohl
Søren Johansen
Affiliation:
University of Copenhagen
Helmut Lütkepohl
Affiliation:
European University Institute, Florence and Humboldt-Universität Berlin
Get access Rights & Permissions [Opens in a new window]

Abstract

We give a brief introduction to the vector autoregressive model for cointegrated I(2) variables and show how some plausible economic relations can be formulated in the I(2) framework in such a way that likelihood ratio tests for their validity are asymptotically χ2 distributed.The authors thank Paolo Paruolo for helpful comments and the ESF for financial support in the framework of the EMM network.

Type
NOTES AND PROBLEMS
Information
Econometric Theory , Volume 21 , Issue 3 , June 2005 , pp. 653 - 658
Copyright
© 2005 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

Boswijk, P. (2000) Mixed normality and ancillarity in I(2) systems. Econometric Theory 16, 878–904.Google Scholar
Engle, R.F. & B.S. Yoo (1991) Cointegrated economic time series: A survey with new results. In C.W.J. Granger & R.F. Engle (eds.), Long-Run Economic Relations: Readings in Cointegration, pp. 237–266. Oxford University Press.
Johansen, S. (1991) Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models. Econometrica 59, 1551–1580.Google Scholar
Johansen, S. (1997) Likelihood analysis of the I(2) model. Scandinavian Journal of Statistics 24, 433–462.Google Scholar
Johansen, S. (2005) The statistical analysis of hypotheses on the cointegrating relations in the I(2) model. Journal of Econometrics, forthcoming.Google Scholar
Kongsted, H.C. (2005) Testing the nominal-to-real transformation. Journal of Econometrics 124, 205–225.Google Scholar
Lütkepohl, H. & J. Wolters (2003) The transmission of German monetary policy in the pre-euro period. Macroeconomic Dynamics 7, 711–733.Google Scholar
Paruolo, P. (1996) On the determination of integration indices in I(2) systems. Journal of Econometrics 72, 313–356.Google Scholar
Paruolo, P. (2000) Asymptotic efficiency of the two stage estimator in I(2) systems. Econometric Theory 16, 524–550.Google Scholar
Paruolo, P. & A.C. Rahbek (1999) Weak exogeneity in I(2) VAR systems. Journal of Econometrics 93, 281–308.Google Scholar
Rahbek, A.C., H.C. Kongsted, & C. Jørgensen (1999) Trend-stationarity in the I(2) cointegration model. Journal of Econometrics 90, 265–289.Google Scholar