Trend stationarity in the I(2) cointegration model
Trend stationarity in the I(2) cointegration model
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DOI：
10.1016/s0304-4076(98)00044-x
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发表时间：
1999-06
影响因子：
6.3
通讯作者：
Anders Rahbek;H. Kongsted;C. Jørgensen
中科院分区：
文献类型：
--
作者：
Anders Rahbek;H. Kongsted;C. Jørgensen
本文定义了一个I（2）过程的向量自回归模型，它允许趋势平稳分量，并限制过程的确定性部分至多为线性。一个两步的统计分析模型的推导。I（1）和I（2）协整秩的联合检验显示出关于漂移项的渐近相似性，并将渐近分布制成表格。协整参数被证明是混合高斯和英国货币数据的应用程序说明了建议的分析。
A vector autoregressive model for I(2) processes which allows for trend-stationary components and restricts the deterministic part of the process to be at most linear is defined. 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 and the asymptotic distribution is tabulated. The cointegrating parameters are shown to be mixed Gaussian and an application for UK monetary data illustrates the proposed analysis.