Georgoutsos, Dimitris; Kouretas, George - Department of Economics, University of Crete - 2000
recently developed I(2) cointegration analysis developed by Johansen (1992, 1995, 1997) extended by Paruolo (1996) and Rahbek … transformation is not imposed on the data but it is shown to satisfy the statistical property of polynomial cointegration. Evidence … is obtained in favor of cointegration between the two sets of variables which is however weakened by the sample …