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 basis for a new estimation procedure of the unrestricted I(2) model, as well as the I(2) model with linear …
