Kongsted, Hans Christian; Nielsen, Heino Bohn - In: Oxford Bulletin of Economics and Statistics 66 (2004) 3, pp. 379-397
We characterize the restrictions imposed by the minimal I(2)-to-I(1) transformation that underlies much applied work, e.g. on money demand relationships or open-economy pricing relationships. The relationship between the parameters of the original I(2) vector autoregression, including the...