Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/171921
Authors: 
Doornik, Jurgen A.
Year of Publication: 
2017
Citation: 
[Journal:] Econometrics [ISSN:] 2225-1146 [Volume:] 5 [Year:] 2017 [Issue:] 2 [Pages:] 1-20
Abstract: 
Estimation of the I(2) cointegrated vector autoregressive (CVAR) model is considered. Without further restrictions, estimation of the I(1) model is by reduced-rank regression (Anderson (1951)). Maximum likelihood estimation of I(2) models, on the other hand, always requires iteration. This paper presents a new triangular representation of the I(2) model. This is the basis for a new estimation procedure of the unrestricted I(2) model, as well as the I(2) model with linear restrictions imposed.
Subjects: 
cointegration
I(2)
vector autoregression
representation
maximum likelihood estimation
reduced rank regression
generalized least squares
JEL: 
C32
C51
C61
Persistent Identifier of the first edition: 
Creative Commons License: 
http://creativecommons.org/licenses/by/4.0/
Document Type: 
Article

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