ASYMPTOTIC EFFICIENCY OF THE TWO STAGE ESTIMATOR IN I (2) SYSTEMS

By Paolo Paruolo. Econometric Theory, 2000

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Representation of Cointegrated Autoregressive Processes with Application to Fractional Processes (2008, unknown): “…̄′̇C1 = 0, because (14) and (15) show that ′C0 + ̄′̇C1 = −Ir + ̄′ C2 ̄ − ̄′̇C2̇̄ = −Ir + ̄′ C2 ̄ − ̄′ C2 ̄ = −Ir For I (2) processes we usually apply the error correction model (18), where satisfies ′⊥ ⊥ = ′ Inference can be found in Boswijk (2000), Johansen (1997, 2006), and Paruolo (1996, 2000).”
Testing hypotheses in an I(2) model with piecewise linear trends. An analysis of the persistent long swings in the Dmk/$ rate (2010, methodology): “The test procedures discussed in this paper build on previous work in Johansen (1992, 1995, 1997, 2006a), Rahbek et al. (1999), Paruolo (2000, 2002), Nielsen and Rahbek (2007).”