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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
University of Insubria, Varese, Italy


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.

© 2004 Cambridge University Press

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