Kurita, Takamitsu; Nielsen, Heino Bohn; Rahbek, Anders - School of Economics and Management, University of Aarhus - 2009
This paper presents likelihood analysis of the I(2) cointegrated vector autoregression with piecewise linear … limiting distribution of the likelihood ratio statistic for the cointegration ranks, extending the result for I(2) models with …
CREATES Research Paper 2009-28
An I(2) Cointegration Model with Piecewise Linear
Trends: Likelihood Analysis and …