Date: 2005
Type: Article

A Note on Testing Restrictions for the Cointegration Parameters of a VAR with I(2) Variables

Econometric Theory, 2005, 21, 3, 653-658.  
 
JOHANSEN, Soren, LUETKEPOHL, Helmut, A Note on Testing Restrictions for the Cointegration Parameters of a VAR with I(2) Variables, Econometric Theory, 2005, 21, 3, 653-658.   - https://hdl.handle.net/1814/3149

Retrieved from Cadmus, EUI Research Repository

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 x(2) distributed.
 
Cadmus permanent link: https://hdl.handle.net/1814/3149
Full-text via DOI: 10.1017/S0266466605050280

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