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A NOTE ON TESTING RESTRICTIONS FOR THE COINTEGRATION PARAMETERS OF A VAR WITH I(2) VARIABLES

Published online by Cambridge University Press:  22 April 2005

Søren Johansen  and
Helmut Lütkepohl
Søren Johansen
Affiliation:
University of Copenhagen
Helmut Lütkepohl
Affiliation:
European University Institute, Florence and Humboldt-Universität Berlin
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Abstract

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.

Type
NOTES AND PROBLEMS
Information
Econometric Theory , Volume 21 , Issue 3 , June 2005 , pp. 653 - 658
Copyright
© 2005 Cambridge University Press

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References

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