A NOTE ON TESTING RESTRICTIONS FOR THE COINTEGRATION PARAMETERS OF A VAR WITH I(2) VARIABLES

Soren Johansen () and Helmut L tkepohl

Econometric Theory, 2005, vol. 21, issue 03, pages 653-658

Abstract: We give a brief introduction to the vector autoregressive model for cointegrated I(2) variables and show how some plausible economic relations can be formulated in the I(2) framework in such a way that likelihood ratio tests for their validity are asymptotically 2 distributed.The authors thank Paolo Paruolo for helpful comments and the ESF for financial support in the framework of the EMM network.

Date: 2005

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Persistent link: http://EconPapers.repec.org/RePEc:cup:etheor:v:21:y:2005:i:03:p:653-658_05

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