| Автор | Paruolo, Paolo |
| Дата выпуска | 2004 |
| dc.description | 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. |
| Издатель | Cambridge University Press |
| Название | 04.3.1 An I(2) Model for VAR(1) Processes |
| DOI | 10.1017/S0266466604203103 |
| Electronic ISSN | 1469-4360 |
| Print ISSN | 0266-4666 |
| Журнал | Econometric Theory |
| Том | 20 |
| Первая страница | 639 |
| Последняя страница | 640 |
| Аффилиация | Paruolo Paolo; University of Insubria |
| Выпуск | 3 |
