This paper discusses serial correlation common features, CF, and integration of order 2, I(2), in VAR systems. The … interplay of the CF restrictions and the I(2) conditions is discussed both for full VAR systems and for conditional systems with … no levels and difference feedback, NF. Several notions of CF are introduced for I(2) systems; some of these are shown to …

condition for a transformation to reduce the order of integration of an I(2) vector process while retaining the cointegrating …

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 …

Johansen (1992a, 1995a, 1997) and extended by Paruolo (1996) and Rahbek et al. (1999) to examine the presence of I(2) and I(1 …

that are I(2) and that a linear trend is required in the cointegrating relations. Using the recent I(2) test by Rahbek et … al. (1999) to examine the presence of I(2) and I(1) components in a multivariate context we find that the linear trend … hypothesis could not be rejected and we find evidence that the system contains two I(2) variables for each country namely, Chile …

autoregressive model. The price variables of the analysis can be characterized as integrated of second order, I(2), but long …-run homogeneity seems to cancel the I(2)-trend allowing the analysis of a transformed data set to take place within the cointegrated I …

system contains variables that are I(2) and that a linear trend is required in the cointegrating relations. Using the … recently developed I(2) cointegration analysis developed by Johansen (1992, 1995, 1997) extended by Paruolo (1996) and Rahbek … evidence that money supply and the price level have a common I(2) component. Then, the validity of Cagan’s model is tested via …