Testing Hypotheses in an I(2) Model with Applications to the Persistent Long Swings in the Dmk/$ Rate
Year of publication: |
2007-12
|
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Authors: | Johansen, Søren ; Juselius, Katarina ; Frydman, Roman ; Goldberg, Michael |
Institutions: | Økonomisk Institut, Københavns Universitet |
Subject: | PPP puzzle | forward premium puzzle | cointegrated VAR | likelihood inference |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Number 07-34 25 pages |
Classification: | C32 - Time-Series Models ; C52 - Model Evaluation and Testing ; F41 - Open Economy Macroeconomics |
Source: |
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