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

Published online by Cambridge University Press:  08 June 2004

Paolo Paruolo
Affiliation:
University of Insubria, Varese, Italy

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
Copyright
© 2004 Cambridge University Press

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References

REFERENCES

Johansen, S. (1992) A representation of vector autoregressive processes integrated of order 2. Econometric Theory 8, 188202.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, 433462.Google Scholar