Likelihood analysis of the I(2) model
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Likelihood analysis of the I(2) model. / Johansen, Søren.
In: Scandinavian Journal of Statistics, Vol. 24, No. 4, 1997, p. 433-462.Research output: Contribution to journal › Journal article › Research › peer-review
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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
VL - 24
SP - 433
EP - 462
JO - Scandinavian Journal of Statistics
JF - Scandinavian Journal of Statistics
SN - 0303-6898
IS - 4
ER -
ID: 9969227