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An Econometric Analysis of I(2) Variables (1998)

Haldrup, Niels

Oxford, UK and Boston, USA : Blackwell Publishers Ltd

Journal of economic surveys 12 (1998), S. 0

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ISSN: 1467-6419

Source: Blackwell Publishing Journal Backfiles 1879-2005

Topics: Economics

Notes: This paper provides a selective survey of the recent literature dealing with I(2) variables in economic time series, that is, processes that require to be differenced twice in order to become stationary. With reference to particular economic models intuition is provided of why I(2)-and polynomial cointegration are features likely to occur in economics. The properties of I(2) series are discussed and I review topics such as: Testing for double unit roots, representations of I(2) cointegrated systems, and hypothesis testing in single equations as well as in systems of equations. Different data sets are used to illustrate the various econometric and statistical techniques.

Type of Medium: Electronic Resource

URL: http://dx.doi.org/10.1111/1467-6419.00069

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