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A Stastistical Analysis of Cointegration for I(2) Variables

https://doi.org/10.1017/s0266466600009026
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Outgoing claims: the papers this work cites, builds on, or argues with.

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Investigation of production, sales and inventory relationships using multicointegration and non-symmetric error correction models
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Weak convergence to the matrix stochastic integral ∫01 B dB′
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Testing weak exogeneity and the order of cointegration in UK money demand data
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Statistical analysis of cointegration vectors
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Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK
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Multivariate Time Series: A Polynomial Error Correction Representation Theorem
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Estimation of Cointegrated Systems with I(2) Processes
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Testing for Unit Roots in Time Series Data
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A Representation of Vector Autoregressive Processes Integrated of Order 2
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Testing Hypotheses Concerning Unions of Linear Subspaces
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Nested Reduced-Rank Autoregressive Models for Multiple Time Series
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The mathematical structure of error correction models
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Long-Run Economic Relationships
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Statistical Analysis of Cointegration Vectors
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MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY
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DETERMINATION OF COINTEGRATION RANK IN THE PRESENCE OF A LINEAR TREND
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Estimating Linear Restrictions on Regression Coefficients for Multivariate Normal Distributions
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Asymptotics for Linear Processes
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Limiting Distributions of Least Squares Estimates of Unstable Autoregressive Processes
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Co-Integration and Error Correction: Representation, Estimation, and Testing
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Optimal Inference in Cointegrated Systems
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A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
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Martingale Limit Theory and its Application.

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Inflation, Money Growth, and I(2) Analysis
inferred← citeshttps://doi.org/10.1016/s0573-8555(04)69005-5openalex-snapshot
Recent Advances in Cointegration Analysis
inferred← citeshttps://doi.org/10.1016/s1042-444x(01)00024-xopenalex-snapshot
Black and official exchange rates in Greece: an analysis of their long-run dynamics
inferred← citeshttps://doi.org/10.1016/s1059-0560(02)00102-8openalex-snapshot
Market efficiency, purchasing power parity, and the official and parallel markets for foreign currency in Latin America
inferred← citeshttps://doi.org/10.1016/s1361-9209(98)00023-6openalex-snapshot
Environmental benefits from better freight transport management: freight traffic in a VAR model
inferred← citeshttps://doi.org/10.1016/s1574-0706(05)01006-2openalex-snapshot
Chapter 6 Forecasting with VARMA Models
inferred← citeshttps://doi.org/10.1017/s0266466600006149openalex-snapshot
On Asymptotic Inference in Linear Cointegrated Time Series Systems
inferred← citeshttps://doi.org/10.1017/s0266466600009968openalex-snapshot
Time Series Regression with Mixtures of Integrated Processes
inferred← citeshttps://doi.org/10.1017/s0266466607070272openalex-snapshot
THE LIKELIHOOD RATIO TEST FOR COINTEGRATION RANKS IN THE I(2) MODEL
inferred← citeshttps://doi.org/10.1027/1614-2241.4.3.113openalex-snapshot
Modeling Human Dynamics by Means of Cointegration Methodology
inferred← citeshttps://doi.org/10.1029/2018wr022912openalex-snapshot
Salinity Management in the Murray‐Darling Basin: A Transaction Cost Study
inferred← citeshttps://doi.org/10.1057/978-1-349-95121-5_2219-1openalex-snapshot
Cointegration
inferred← citeshttps://doi.org/10.1057/978-1-349-95189-5_2219openalex-snapshot
Cointegration
inferred← citeshttps://doi.org/10.1057/9780230244405_8openalex-snapshot
The Long Swings Puzzle: What the Data Tell When Allowed to Speak Freely
inferred← citeshttps://doi.org/10.1057/9780230280830_6openalex-snapshot
Cointegration
inferred← citeshttps://doi.org/10.1057/s41260-025-00402-6openalex-snapshot
Investigating the nexus between sovereign green and vanilla bonds in the secondary market
inferred← citeshttps://doi.org/10.1061/jcemd4.coeng-16650openalex-snapshot
Forecasting State-Level Construction Labor Earnings for Enhanced Project Cost Control: An Econometric and Deep-Learning Analysis of the Leading Economic Indicators
inferred← citeshttps://doi.org/10.1080/00036840110069976openalex-snapshot
Twin Deficits: Apparition or Reality?
inferred← citeshttps://doi.org/10.1080/00036846.2014.927573openalex-snapshot
Dynamic linkages between diffusion of Information Communication Technology and labour productivity in South Asia
inferred← citeshttps://doi.org/10.1080/00036846.2023.2203457openalex-snapshot
Measuring an equilibrium long-run relationship between financial inclusion and monetary stability in Mozambique
inferred← citeshttps://doi.org/10.1080/02681102.2016.1217822openalex-snapshot
Telecommunications infrastructure and usage and the FDI–growth nexus: evidence from Asian-21 countries
inferred← citeshttps://doi.org/10.1080/03610926.2025.2573772openalex-snapshot
On multicointegration
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Modeling Price and Quantity Relations for Danish Manufacturing Exports
inferred← citeshttps://doi.org/10.1080/07350015.1998.10524780openalex-snapshot
A Structured VAR for Denmark Under Changing Monetary Regimes
inferred← citeshttps://doi.org/10.1080/07350015.1998.10524782openalex-snapshot
The Dynamics of Chronic Inflation in Brazil, 1968-1985
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Semiparametric Tests for Double Unit Roots Based on Symmetric Estimators
inferred← citeshttps://doi.org/10.1080/07350015.2017.1294077openalex-snapshot
On the Identification of Fractionally Cointegrated VAR Models With theF(d)Condition
inferred← citeshttps://doi.org/10.1080/07474938.2011.607346openalex-snapshot
Likelihood-Based Inference for Weak Exogeneity in I (2) Cointegrated VAR Models
inferred← citeshttps://doi.org/10.1080/08898480306712openalex-snapshot
Cointegration modeling of fertility in the United States
inferred← citeshttps://doi.org/10.1080/0960310042000164202openalex-snapshot
A Multivariate I(2)cointegration analysis of German hyperinflation
inferred← citeshttps://doi.org/10.1080/09603100500107842openalex-snapshot
Expectations and the black market premium for foreign currency in Greece
inferred← citeshttps://doi.org/10.1080/09640568.2021.1972797openalex-snapshot
Energy use and urbanization as determinants of China’s environmental quality: prospects of the Paris climate agreement
inferred← citeshttps://doi.org/10.1080/10168730100000046openalex-snapshot
LONG-RUN PURCHASING POWER PARITY AND STRUCTURAL CHANGE: THE OFFICIAL AND PARALLEL FOREIGN EXCHANGE MARKETS FOR DOLLARS IN GREECE
inferred← citeshttps://doi.org/10.1080/1331677x.2021.1875864openalex-snapshot
Optimal dynamic electricity consumption function estimation: an institutional experimental evidence from Guangzhou, China (1949-2016)
inferred← citeshttps://doi.org/10.1080/13501789900000017openalex-snapshot
Models and relations in economics and econometrics
inferred← citeshttps://doi.org/10.1080/17520843.2019.1599034openalex-snapshot
The impact of macroeconomic variables on industrial shares listed on the Johannesburg Stock Exchange
inferred← citeshttps://doi.org/10.1080/17938120.2021.1930830openalex-snapshot
On the nexus between economic growth and bank-based financial development: evidence from Morocco
inferred← citeshttps://doi.org/10.1080/23311886.2026.2709998openalex-snapshot
Public expenditure and sustainable economic growth of Ghana: an ARDL bounds testing approach
inferred← citeshttps://doi.org/10.1081/etc-120028834openalex-snapshot
On the Distribution of Likelihood Ratio Test Statistics for Cointegration Rank
inferred← citeshttps://doi.org/10.1086/709805openalex-snapshot
Deterrent Effect of Capital Punishment in Japan: An Analysis Using Nonstationary Time-Series Data
inferred← citeshttps://doi.org/10.1093/0198774508.001.0001openalex-snapshot
Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
inferred← citeshttps://doi.org/10.1093/0198774508.001.0001.002.003openalex-snapshot
Copyright Page
inferred← citeshttps://doi.org/10.1093/0198774508.001.0001.002.004openalex-snapshot
Preface to Second Printing
inferred← citeshttps://doi.org/10.1093/0198774508.001.0001.002.005openalex-snapshot
Epigraph
inferred← citeshttps://doi.org/10.1093/0198774508.002.0001openalex-snapshot
Preface
inferred← citeshttps://doi.org/10.1093/0198774508.003.0001openalex-snapshot
Introduction
inferred← citeshttps://doi.org/10.1093/0198774508.003.0002openalex-snapshot
The Vector Autoregressive Model
inferred← citeshttps://doi.org/10.1093/0198774508.003.0003openalex-snapshot
Basic Definitions and Concepts
inferred← citeshttps://doi.org/10.1093/0198774508.003.0004openalex-snapshot
Cointegration and Representation of Integrated Variables
inferred← citeshttps://doi.org/10.1093/0198774508.003.0005openalex-snapshot
The I(1) Models and Their Interpretation
inferred← citeshttps://doi.org/10.1093/0198774508.003.0006openalex-snapshot
The Statistical Analysis of I (1) Models
inferred← citeshttps://doi.org/10.1093/0198774508.003.0007openalex-snapshot
Hypothesis Testing for the Long‐Run Coefficients β
inferred← citeshttps://doi.org/10.1093/0198774508.003.0008openalex-snapshot
Partial Systems and Hypotheses on α
inferred← citeshttps://doi.org/10.1093/0198774508.003.0009openalex-snapshot
The I(2) Model and a Test for I(2)
inferred← citeshttps://doi.org/10.1093/0198774508.003.0010openalex-snapshot
Probability Properties of I (1) Processes
inferred← citeshttps://doi.org/10.1093/0198774508.003.0011openalex-snapshot
The Asymptotic Distribution of the Test for Cointegrating Rank
inferred← citeshttps://doi.org/10.1093/0198774508.003.0012openalex-snapshot
Determination of Cointegrating Rank
inferred← citeshttps://doi.org/10.1093/0198774508.003.0013openalex-snapshot
Asymptotic Properties of the Estimators
inferred← citeshttps://doi.org/10.1093/0198774508.003.0014openalex-snapshot
The Power Function of the Test for Cointegrating Rank Under Local Alternatives
inferred← citeshttps://doi.org/10.1093/0198774508.003.0015openalex-snapshot
Simulations and Tables
inferred← citeshttps://doi.org/10.1093/0198774508.005.0001openalex-snapshot
Some Mathematical Results
inferred← citeshttps://doi.org/10.1093/0198774508.005.0002openalex-snapshot
Weak Convergence of Probability Measures on Rp and C[0,1]
inferred← citeshttps://doi.org/10.1093/ei/cbi031openalex-snapshot
MULTICOINTEGRATION AND SUSTAINABILITY OF FISCAL PRACTICES
inferred← citeshttps://doi.org/10.1093/oso/9780198296836.003.0008openalex-snapshot
Granger’s Representation Theorem and Multicointegration
inferred← citeshttps://doi.org/10.1093/oso/9780199285662.001.0001openalex-snapshot
The Cointegrated VAR Model: Methodology and Applications
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