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...

This paper investigates possible structural changes induced by the Euro on the relations among wages, prices and unemployment for the five major European economies. The dynamic adjustment and the level relations are found to be different across subperiods as well as across countries. During the...

This paper provides asymptotic standard errors for the moving average (MA) impact matrix for the second differences of a vector autoregressive (VAR) process integrated of order 2,I(2). Standard errors of the row space of the MA impact matrix are also provided; bases of this row space define the...

In this paper we discuss sensitivity of forecast with respect to the information set considered in prediction; we define a sensitivit measure called impact factor, IF. We calculate this measure in VAR processes integrated of order 0, 1 and 2. For VAR processes this measure is as simple function...

This paper discusses common cycles in I(2) vector autoregressive (VAR) systems. Both static and dynamic cofeatures are considered. We consider application of these notions to different choices of stationary variables extracted from a VAR, including deviations from equilibria. This extension is...