Li, Yuanyuan; Bauer, Dietmar - In: Econometrics : open access journal 8 (2020) 3/38, pp. 1-28
In this paper the theory on the estimation of vector autoregressive (VAR) models for I(2) processes is extended to the case of long VAR approximation of more general processes. Hereby the order of the autoregression is allowed to tend to infinity at a certain rate depending on the sample size....
