Search Results - subject:"polynomial cointegration"

High Inflation, Hyperinflation and Explosive Roots: The Case of Yugoslavia

Juselius, Katarina; Mladenovic, Zorica - Økonomisk Institut, Københavns Universitet - 2002

The focus is on ’explosive root VAR’ modelling of money, prices, wages, and exchange rates applied to the Jugoslav high inflation/hyperinflation transition period from a centrally planned economy to a more market oriented economy. The I(2) model, which has previously been used to estimate...

Persistent link: https://www.econbiz.de/10005749707

Cointegration analysis with state space models

Wagner, Martin - In: AStA Advances in Statistical Analysis 94 (2010) 3, pp. 273-305

Persistent link: https://www.econbiz.de/10008775606

On Polynomial Cointegration in the State Space Framework

Bauer, Dietmar; Wagner, Martin - Department Volkswirtschaftlehre, Universität Bern - 2003

This paper deals with polynomial cointegration, i.e. with the phenomenon that linear combinations of a vector valued …

Persistent link: https://www.econbiz.de/10005212459

The Integration Order of Vector Autoregressive Processes

Franchi, Massimo - Økonomisk Institut, Københavns Universitet

. The equivalence with the standard I(1) and I(2) conditions (Johansen, 1996) is proved and polynomial cointegration …

Persistent link: https://www.econbiz.de/10005225432

The role of the drift in I(2) systems

Paruolo, Paolo - In: Statistical Methods and Applications 3 (1994) 1, pp. 93-123

Persistent link: https://www.econbiz.de/10008591001