Johansen, Søren; Juselius, Katarina; Frydman, Roman; … - Økonomisk Institut, Københavns Universitet - 2007
This paper discusses a number of likelihood ratio tests on long-run relations and common trends in the I(2) model and provide new results on the test of overidentifying restrictions on β’xt and the asymptotic variance for the stochastic trends parameters, α⊥1: How to specify deterministic...