Kurita, Takamitsu; Nielsen, Heino Bohn; Rahbek, Anders - School of Economics and Management, University of Aarhus - 2009
This paper presents likelihood analysis of the I(2) cointegrated vector autoregression with piecewise linear deterministic terms. Limiting behavior of the maximum likelihood estimators are derived, which is used to further derive the limiting distribution of the likelihood ratio statistic for...
