![Statistical analysis of hypotheses on the cointegrating relations in the I(2) model [An article from: Journal of Econometrics]](https://www.ebooknetworking.net/books/B00/0RR/bigB000RR8Y90.jpg)
Statistical analysis of hypotheses on the cointegrating relations in the I(2) model [An article from: Journal of Econometrics]
Book Details
Author(s)S. Johansen
PublisherElsevier
ISBN / ASINB000RR8Y90
ISBN-13978B000RR8Y91
MarketplaceFrance 🇫🇷
Description
This digital document is a journal article from Journal of Econometrics, published by Elsevier in 2006. The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.
Description:
The cointegrated vector autoregressive model for I(2) variables is a non-linear parametric restriction on the linear I(2) regression model for variables of order I(0), I(1) and I(2). In this paper we discuss non-linear submodels given by smooth parametrizations. We give conditions on the parametrization which imply that the limit under local alternatives of the log likelihood ratio is quadratic, and show that the asymptotic distribution of the maximum likelihood estimator can be found by optimizing the limit function. This gives a reformulation of a condition by Boswijk (2000. Econometric Theory 16, 878-904) and the reformulation is applied to show that some hypotheses on the cointegrating coefficients in the cointegrated I(2) model give asymptotic @g^2 inference.
Description:
The cointegrated vector autoregressive model for I(2) variables is a non-linear parametric restriction on the linear I(2) regression model for variables of order I(0), I(1) and I(2). In this paper we discuss non-linear submodels given by smooth parametrizations. We give conditions on the parametrization which imply that the limit under local alternatives of the log likelihood ratio is quadratic, and show that the asymptotic distribution of the maximum likelihood estimator can be found by optimizing the limit function. This gives a reformulation of a condition by Boswijk (2000. Econometric Theory 16, 878-904) and the reformulation is applied to show that some hypotheses on the cointegrating coefficients in the cointegrated I(2) model give asymptotic @g^2 inference.
