Doornik, Jurgen A. - In: Econometrics : open access journal 5 (2017) 2, pp. 1-20
Estimation of the I(2) cointegrated vector autoregressive (CVAR) model is considered. Without further restrictions, estimation of the I(1) model is by reduced-rank regression (Anderson (1951)). Maximum likelihood estimation of I(2) models, on the other hand, always requires iteration. This paper...