Cointegration Analysis in the Case of I(2) - General Overview

• Autorzy: Michał Majsterek
• Języki publikacji: EN

Abstrakty

EN

The presented paper aims to analyse both statistical and economic aspects of the model with I(2) variables. The statistical foundations of such models are introduced. The enlargement of possible statistical interpretation is discussed. The economic interpretation of both VECM parameters and common stochastic trends representation is considered in the I(2) domain. The returns of I(2) approach in terms of stock-flows, nominal-real analysis and diasggregation into both long-, short and even medium-run analysis are proved. Potential complications under reflecting I(3) variables are presented. (original abstract)

Słowa kluczowe

EN

Cointegration; Vector Autoregression Model (VAR)

PL

Kointegracja; Model wektorowej autoregresji

• Czasopismo: Central European Journal of Economic Modelling and Econometrics (CEJEME)
• Rocznik: 2012
• Tom: 4
• Numer: nr 4
• Strony: 215--252

Twórcy

autor

Michał Majsterek

• University of Lodz, Poland

Bibliografia

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Identyfikatory

DOI

DOI: 10.24425/cejeme.2012.119285