2005-04-22Zeitschriftenartikel DOI: 10.18452/27802
A note on testing restrictions for the cointegration parameters of a VAR with I(2) variables
We give a brief introduction to the vector autoregressive model for cointegrated I(2) variables and show how some plausible economic relations can be formulated in the I(2) framework in such a way that likelihood ratio tests for their validity are asymptotically χ2 distributed.The authors thank Paolo Paruolo for helpful comments and the ESF for financial support in the framework of the EMM network.
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This publication is with permission of the rights owner freely accessible due to an Alliance licence and a national licence (funded by the DFG, German Research Foundation) respectively.