04.3.1 An I(2) Model for VAR(1) Processes

Paolo Paruolo

Econometric Theory, 2004, vol. 20, issue 3, 639-640

Abstract: 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.

Date: 2004
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