Kurita, Takamitsu; Bohn Nielsen, Heino; Rahbek, Anders - 2009
CREATES Research Paper 2009-28
An I(2) Cointegration Model with Piecewise Linear
Trends: Likelihood Analysis and … Application
Takamitsu Kurita, Heino Bohn Nielsen and Anders Rahbek
AN I(2) COINTEGRATION MODEL
WITH PIECEWISE LINEAR …-
ing distribution of the likelihood ratio statistic for the cointegration ranks, extending
the result for I(2) models with …