It is well-known that if the forcing variable of a present value (PV) model is an integrated process, then the model will give rise to a particular cointegrating restriction. In this paper we demonstrate that if the PV relation is exact, such that no additive error term appears in the...

We suggest how to redefine the multicointegration model of Granger and Lee (1990) in terms of an I(2) system and subsequently propose a one-step procedure for estimation and inference which will have favourable statistical properties compared to the two-step procedure suggested by Granger and...