Testing hypotheses in an I(2) model with applications to the persistent long swings in the Dmk/$ rate
Year of publication: |
2008-01-15
|
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Authors: | Johansen, Søren ; Juselius, Katarina ; Frydberg, Roman ; Goldberg, Michael |
Institutions: | School of Economics and Management, University of Aarhus |
Subject: | PPP puzzle | Forward premium puzzle | cointegrated VAR | likelihood inference |
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