Trend-Stationarity in the I(2) Cointegration Model
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Trend-Stationarity in the I(2) Cointegration Model. / Jørgensen, Clara; Kongsted, Hans Christian; Rahbek, Anders Christian.
Department of Economics, University of Copenhagen, 1996.Research output: Working paper › Research
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TY - UNPB
T1 - Trend-Stationarity in the I(2) Cointegration Model
AU - Jørgensen, Clara
AU - Kongsted, Hans Christian
AU - Rahbek, Anders Christian
N1 - JEL Classification: C32, C51, C52
PY - 1996
Y1 - 1996
N2 - A representation for I(2) processes is derived which allows for trend-stationary components and restricts the deterministic part of the process to be at most linear. A two-step statistical analysis of the model is derived. The joint test of I(1) and I(2) cointegrating ranks is shown to be asymptotically similar with respect to the drift terms. The asymptotic distribution is tabulated and an application for UK monetary data illustrates the proposed statistical methods
AB - A representation for I(2) processes is derived which allows for trend-stationary components and restricts the deterministic part of the process to be at most linear. A two-step statistical analysis of the model is derived. The joint test of I(1) and I(2) cointegrating ranks is shown to be asymptotically similar with respect to the drift terms. The asymptotic distribution is tabulated and an application for UK monetary data illustrates the proposed statistical methods
M3 - Working paper
BT - Trend-Stationarity in the I(2) Cointegration Model
PB - Department of Economics, University of Copenhagen
ER -
ID: 2999648