This paper discusses identification of systems of cointegrating relations in I(2) vector autoregressive models. This is accomplished within a new parametrization which, while equivalent to previously proposed ones, is more flexible. Rank and order conditions for identification are provided. We discuss likelihood estimation, and provide an illustration on a model for US manufacturing inventories.
Identification of Cointegrating Relations in I(2) Vector AutoRegressive Models
MOSCONI, ROCCO ROBERTO;
2013-01-01
Abstract
This paper discusses identification of systems of cointegrating relations in I(2) vector autoregressive models. This is accomplished within a new parametrization which, while equivalent to previously proposed ones, is more flexible. Rank and order conditions for identification are provided. We discuss likelihood estimation, and provide an illustration on a model for US manufacturing inventories.File in questo prodotto:
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