Kurita, Takamitsu; Nielsen, Heino Bohn; Rahbek, Anders - Økonomisk Institut, Københavns Universitet - 2009
This paper presents likelihood analysis of the I(2) cointegrated vector autoregression with piecewise linear … a linear trend in Nielsen and Rahbek (2007) and for I(1) models with piecewise linear trends in Johansen, Mosconi, and …