Cointegration Analysis in the Case of I(2) – General Overview

Michał Majsterek ()
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Michał Majsterek: University of Łódz, Chair of Econometric Models and Forecasts

Central European Journal of Economic Modelling and Econometrics, 2012, vol. 4, issue 4, 215-252

Abstract: The presented paper aims to analyse both statistical and economic aspects of the model with I(2) variables. The statistical foundations of such models are introduced. The enlargement of possible statistical interpretation is discussed. The economic interpretation of both VECM parameters and common stochastic trends representation is considered in the I(2) domain. The returns of I(2) approach in terms of stock-flows, nominal-real analysis and diasggregation into both long-, short and even medium-run analysis are proved. Potential complications under reflecting I(3) variables are presented.

Keywords: cointegration; I(2) model; VAR (search for similar items in EconPapers)
JEL-codes: C32 C51 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:psc:journl:v:4:y:2012:i:4:p:215-252

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