An I(2) cointegration model with piecewise linear trends

Takamitsu Kurita; Heino Bohn Nielsen; Anders Rahbek

doi:10.1111/j.1368-423x.2010.00333.x

An I(2) cointegration model with piecewise linear trends

Takamitsu Kurita, Heino Bohn Nielsen, Anders Rahbek

Økonomisk Institut

7 Citationer (Scopus)

Abstract

This paper presents likelihood analysis of the I(2) cointegrated vector autoregression which allows for piecewise linear deterministic terms. Limiting behaviour of the maximum likelihood estimators are derived, which is used to further derive the limiting distribution of the likelihood ratio statistic for the cointegration ranks, extending Nielsen and Rahbek. The provided asymptotic theory extends also the results in Johansen et al. where asymptotic inference is discussed in detail for one of the cointegration parameters. An empirical analysis of US consumption, income and wealth, 1965–2008, is performed, emphasizing the importance of a change in nominal price trends after 1980.

Originalsprog	Engelsk
Tidsskrift	Econometrics Journal
Vol/bind	14
Udgave nummer	2
Sider (fra-til)	131-155
Antal sider	25
ISSN	1368-4221
DOI	https://doi.org/10.1111/j.1368-423x.2010.00333.x
Status	Udgivet - jul. 2011

Emneord

Det Samfundsvidenskabelige Fakultet
likelihood analysis
rank test
US consumption

Adgang til dokumentet

10.1111/j.1368-423x.2010.00333.x

Citationsformater

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KW - rank test

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