04.3.1 An I(2) Model for VAR(1) Processes
Paruolo, Paolo; Paruolo Paolo; University of Insubria
Журнал:
Econometric Theory
Дата:
2004
Аннотация:
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.
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