An I(2) cointegration model with piecewise linear trends

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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

Kurita, T, Nielsen, HB & Rahbek, A 2011, 'An I(2) cointegration model with piecewise linear trends', Econometrics Journal, bind 14, nr. 2, s. 131-155. https://doi.org/10.1111/j.1368-423X.2010.00333.x

APA

Kurita, T., Nielsen, H. B., & Rahbek, A. (2011). An I(2) cointegration model with piecewise linear trends. Econometrics Journal, 14(2), 131-155. https://doi.org/10.1111/j.1368-423X.2010.00333.x

Vancouver

Kurita T, Nielsen HB, Rahbek A. An I(2) cointegration model with piecewise linear trends. Econometrics Journal. 2011 jul.;14(2):131-155. https://doi.org/10.1111/j.1368-423X.2010.00333.x

Author

Kurita, Takamitsu ; Nielsen, Heino Bohn ; Rahbek, Anders. / An I(2) cointegration model with piecewise linear trends. I: Econometrics Journal. 2011 ; Bind 14, Nr. 2. s. 131-155.

Bibtex

@article{48797d50bc1911df825b000ea68e967b,
title = "An I(2) cointegration model with piecewise linear trends",
abstract = "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.",
keywords = "Faculty of Social Sciences, likelihood analysis, rank test, US consumption",
author = "Takamitsu Kurita and Nielsen, {Heino Bohn} and Anders Rahbek",
year = "2011",
month = jul,
doi = "10.1111/j.1368-423X.2010.00333.x",
language = "English",
volume = "14",
pages = "131--155",
journal = "Econometrics Journal",
issn = "1368-4221",
publisher = "Wiley",
number = "2",

}

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