Trend-Stationarity in the I(2) Cointegration Model

Clara Jørgensen, Hans Christian Kongsted and Anders Rahbek
Additional contact information
Clara Jørgensen: Danish Computer Centre for Research and Education
Hans Christian Kongsted: Institute of Economics, University of Copenhagen

No 96-12, Discussion Papers from University of Copenhagen. Department of Economics

Abstract: A representation for I(2) processes is derived which allows for trend-stationary components and restricts the deterministic part of the process to be at most linear. A two-step statistical analysis of the model is derived. The joint test of I(1) and I(2) cointegrating ranks is shown to be asymptotically similar with respect to the drift terms. The asymptotic distribution is tabulated and an application for UK monetary data illustrates the proposed statistical methods.

Keywords: cointegration; I(2); trend-stationarity; similarity; U.K. money demand (search for similar items in EconPapers)
JEL-codes: C32 C51 C52 (search for similar items in EconPapers)
Pages: 33 pages
Date: 1996-06
References: Add references at CitEc
Citations:

Published in: Journal of Econometrics, 90(2) 1999, pp 265-89

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: Trend stationarity in the I(2) cointegration model (1999)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:kud:kuiedp:9612

Access Statistics for this paper

More papers in Discussion Papers from University of Copenhagen. Department of Economics Oester Farimagsgade 5, Building 26, DK-1353 Copenhagen K., Denmark. Contact information at EDIRC.
Bibliographic data for series maintained by Thomas Hoffmann ().