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...

In this paper long-run forecasting of multicointegrating variables is investigated. Multicointegration typically occurs in dynamic systems involving both stock and flow variables whereby a common feature in the form of shared stochastic trends is present across different levels of multiple time...