Likelihood analysis of the I(2) model

TY - JOUR

T1 - Likelihood analysis of the I(2) model

AU - Johansen, Søren

PY - 1997

Y1 - 1997

N2 - The I(2) model is defined as a submodel of the general vector autoregressive model, by two reduced rank conditions. The model describes stochastic processes with stationary second difference. A parametrization is suggested which makes likelihood inference feasible. Consistency of the maximum likelihood estimator is proved, and the asymptotic distribution of the maximum likelihood estimator is given. It is shown that the asymptotic distribution is either Gaussian, mixed Gaussian or, in some cases, even more complicated.

AB - The I(2) model is defined as a submodel of the general vector autoregressive model, by two reduced rank conditions. The model describes stochastic processes with stationary second difference. A parametrization is suggested which makes likelihood inference feasible. Consistency of the maximum likelihood estimator is proved, and the asymptotic distribution of the maximum likelihood estimator is given. It is shown that the asymptotic distribution is either Gaussian, mixed Gaussian or, in some cases, even more complicated.

KW - Faculty of Social Sciences

KW - cointegration

KW - integrated processes

KW - time series analysis

KW - vector autoregressive processes

U2 - 10.1111/1467-9469.00074

DO - 10.1111/1467-9469.00074

M3 - Journal article

SN - 0303-6898

VL - 24

SP - 433

EP - 462

JO - Scandinavian Journal of Statistics

JF - Scandinavian Journal of Statistics

IS - 4

ER -