An I(2) Cointegration Model with Piecewise Linear Trends: Likelihood Analysis and Application

Keyphrases

• Cointegration Model 100%
• Likelihood Analysis 100%
• I(2) 100%
• Piecewise Linear Trends 100%
• Cointegrated Vector Autoregression 33%
• Nominal Price 33%
• I(1) 33%
• Cointegration Rank 33%
• Goldberg 33%
• Maximum Likelihood Estimator 33%
• Asymptotic Theory 33%
• Piecewise Linear 33%
• Linear Trend 33%
• Likelihood Ratio 33%
• Limiting Behavior 33%
• Price Trends 33%
• Cointegration 33%
• Asymptotic Inference 33%
• Limiting Distribution 33%

Mathematics

• Cointegration 100%
• Piecewise Linear 100%
• Linear Trend 100%
• Maximum Likelihood Estimator 33%
• Likelihood Ratio Statistic 33%
• Asymptotic Theory 33%
• Vector Autoregression 33%
• Limiting Behavior 33%
• Limiting Distribution 33%
• Asymptotics 33%

Economics, Econometrics and Finance

• Wealth 100%
• Price 100%
• Autoregression 100%