An I(2) cointegration model with piecewise linear trends
Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt
Standard
An I(2) cointegration model with piecewise linear trends. / Kurita, Takamitsu; Nielsen, Heino Bohn; Rahbek, Anders.
I: Econometrics Journal, Bind 14, Nr. 2, 07.2011, s. 131-155.Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt
Harvard
APA
Vancouver
Author
Bibtex
}
RIS
TY - JOUR
T1 - An I(2) cointegration model with piecewise linear trends
AU - Kurita, Takamitsu
AU - Nielsen, Heino Bohn
AU - Rahbek, Anders
PY - 2011/7
Y1 - 2011/7
N2 - This paper presents likelihood analysis of the I(2) cointegrated vector autoregression which allows for piecewise linear deterministic terms. Limiting behaviour of the maximum likelihood estimators are derived, which is used to further derive the limiting distribution of the likelihood ratio statistic for the cointegration ranks, extending Nielsen and Rahbek. The provided asymptotic theory extends also the results in Johansen et al. where asymptotic inference is discussed in detail for one of the cointegration parameters. An empirical analysis of US consumption, income and wealth, 1965–2008, is performed, emphasizing the importance of a change in nominal price trends after 1980.
AB - This paper presents likelihood analysis of the I(2) cointegrated vector autoregression which allows for piecewise linear deterministic terms. Limiting behaviour of the maximum likelihood estimators are derived, which is used to further derive the limiting distribution of the likelihood ratio statistic for the cointegration ranks, extending Nielsen and Rahbek. The provided asymptotic theory extends also the results in Johansen et al. where asymptotic inference is discussed in detail for one of the cointegration parameters. An empirical analysis of US consumption, income and wealth, 1965–2008, is performed, emphasizing the importance of a change in nominal price trends after 1980.
KW - Faculty of Social Sciences
KW - likelihood analysis
KW - rank test
KW - US consumption
U2 - 10.1111/j.1368-423X.2010.00333.x
DO - 10.1111/j.1368-423X.2010.00333.x
M3 - Journal article
VL - 14
SP - 131
EP - 155
JO - Econometrics Journal
JF - Econometrics Journal
SN - 1368-4221
IS - 2
ER -
ID: 21905951