This paper analyzes common cycles in I(2) vector autoregressive (VAR) systems. We consider di®erent choices of …

, in which multicointegration is likely to occur. We apply recently developed I(2) techniques for testing for …

, in which multicointegration is likely to occur. We apply recently developed I(2) techniques for testing for …

consumption growth. The nominal variables, treated as I(2) here, form a linearly homogeneous relation, suggesting a transformation …

consumption growth. The nominal variables, treated as I(2) here, form a linearly homogeneous relation, suggesting a transformation …

the I(2) vector autoregressive model. It is shown that the asymptotic distribution of the LR test for the (multi … the hypothesis of I(2), and application of the LR test may change rank selection in empirical work. Based on a study of … properties when compared to the Two-Step based test. Overall, we propose to use of the LR test for rank determination in I(2 …

This paper discusses common cycles in I(2) vector autoregressive (VAR) systems. Both static and dynamic cofeatures are …

, in which multicointegration is likely to occur. We apply recently developed I(2) techniques for testing for …

much more popular than the analysis of I(2) models although there is some evidence that relevant economic times series like … unit roots. The purpose of this paper is to illustrate the analysis of I(2) variables and to show how this technique can be … analysis and the role of money in the transmission mechanism are addressed. It turns out that the I(2) analysis provides a …