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~subject:"VAR-Modell"
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Search: subject:"I(2)"
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VAR-Modell
Cointegration
31
I(2)
31
cointegration
24
Kointegration
16
I(2) analysis
15
VAR
11
Estimation
10
Schätzung
10
Estimation theory
9
Schätztheorie
9
Time series analysis
8
VAR model
8
Zeitreihenanalyse
8
common trends
7
identification
7
multicointegration
7
I(2) processes
6
Kaufkraftparität
6
Purchasing power parity
6
double unit roots
6
near I(2)
6
Exchange rate
5
I(1)
5
I(2) cointegration analysis
5
Inflation
5
Wechselkurs
5
I(2) model
4
Imperfect Knowledge
4
Money demand
4
Univariate and multivariate unit root tests
4
consumption
4
monetary policy
4
wealth
4
2SI2
3
Double unit roots
3
Einheitswurzeltest
3
Geldnachfrage
3
I(2) cointegration
3
International stock markets
3
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Free
5
Undetermined
2
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Article
5
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3
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Article in journal
6
Aufsatz in Zeitschrift
6
Arbeitspapier
2
Graue Literatur
2
Non-commercial literature
2
Working Paper
2
Interview
1
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English
8
Author
All
Jusélius, Katarina
3
Paruolo, Paolo
3
Mosconi, Rocco
2
Assenmacher-Wesche, Katrin
1
Boswijk, Herman Peter
1
Di Iorio, Francesca
1
Doornik, Jurgen A.
1
Fachin, Stefano
1
Johansen, Søren
1
Kurita, Takamitsu
1
Lucchetti, Riccardo
1
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Econometrics : open access journal
3
Applied economics
1
Bulletin of economic research
1
Economics : the open-access, open-assessment e-journal
1
Economics : the open-access, open-assessment journal
1
SNB working papers
1
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ECONIS (ZBW)
8
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1
A conversation with Søren Johansen
Johansen, Søren
(
interviewee
);
Mosconi, Rocco
(
interviewer
)
- In:
Econometrics : open access journal
10
(
2022
)
2
,
pp. 1-16
discusses inter alia the following issues: estimation and inference for nonstationary time series of the I(1),
I
(
2
) and …
Persistent link: https://www.econbiz.de/10013355167
Saved in:
2
Formula I(1) and
I
(
2
) : race tracks for likelihood maximization algorithms of I(1) and
I
(
2
) cointegrated VAR models
Doornik, Jurgen A.
;
Mosconi, Rocco
;
Paruolo, Paolo
- In:
Econometrics : open access journal
5
(
2017
)
4
,
pp. 1-30
of the cointegrated vector autoregressive model. Both I(1) and
I
(
2
) models are considered. The performance of algorithms …
Persistent link: https://www.econbiz.de/10011781891
Saved in:
3
Likelihood ratio tests of restrictions on common trends loading matrices in
I
(
2
) VAR Systems
Boswijk, Herman Peter
;
Paruolo, Paolo
- In:
Econometrics : open access journal
5
(
2017
)
3
,
pp. 1-17
Likelihood ratio tests of over-identifying restrictions on the common trends loading matrices in
I
(
2
) VAR systems are …
Persistent link: https://www.econbiz.de/10011710948
Saved in:
4
Can you do the wrong thing and still be right? : hypothesis testing in
I
(
2
) and near-
I
(
2
) cointegrated VARs
Di Iorio, Francesca
;
Fachin, Stefano
;
Lucchetti, Riccardo
- In:
Applied economics
48
(
2016
)
37/39
,
pp. 3665-3678
Persistent link: https://www.econbiz.de/10011621158
Saved in:
5
Real exchange rate persistence : the case of the Swiss franc-US dollar rate
Jusélius, Katarina
;
Assenmacher-Wesche, Katrin
-
2015
the long swings in the Swiss franc-US dollar foreign currency market using the
I
(
2
) Cointegrated VAR model. The results …
Persistent link: https://www.econbiz.de/10010494961
Saved in:
6
Testing for near
I
(
2
) trends when the signal to noise ratio is small
Jusélius, Katarina
-
2014
Researchers seldom find evidence of
I
(
2
) in exchange rates, prices, and other macroeconomics time series when they test …
Persistent link: https://www.econbiz.de/10010240618
Saved in:
7
Testing for near
I
(
2
) trends when the signal-to-noise ratio is small
Jusélius, Katarina
-
2014
Researchers seldom find evidence of
I
(
2
) in exchange rates, prices, and other macroeconomics time series when they test …
Persistent link: https://www.econbiz.de/10010355373
Saved in:
8
Modelling time series data of monetary aggregates using
I
(
2
) and I(1) cointegration analysis
Kurita, Takamitsu
- In:
Bulletin of economic research
65
(
2013
)
4
,
pp. 372-388
Persistent link: https://www.econbiz.de/10010194791
Saved in:
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