Trend-Stationarity in the I(2) Cointegration Model

TY - UNPB

T1 - Trend-Stationarity in the I(2) Cointegration Model

AU - Jørgensen, Clara

AU - Kongsted, Hans Christian

AU - Rahbek, Anders Christian

N1 - JEL Classification: C32, C51, C52

PY - 1996

Y1 - 1996

N2 - A representation for I(2) processes is derived which allows for trend-stationary components and restricts the deterministic part of the process to be at most linear. A two-step statistical analysis of the model is derived. The joint test of I(1) and I(2) cointegrating ranks is shown to be asymptotically similar with respect to the drift terms. The asymptotic distribution is tabulated and an application for UK monetary data illustrates the proposed statistical methods

AB - A representation for I(2) processes is derived which allows for trend-stationary components and restricts the deterministic part of the process to be at most linear. A two-step statistical analysis of the model is derived. The joint test of I(1) and I(2) cointegrating ranks is shown to be asymptotically similar with respect to the drift terms. The asymptotic distribution is tabulated and an application for UK monetary data illustrates the proposed statistical methods

M3 - Working paper

BT - Trend-Stationarity in the I(2) Cointegration Model

PB - Department of Economics, University of Copenhagen

ER -