Article ID Journal Published Year Pages File Type
5062163 Economics Letters 2007 7 Pages PDF
Abstract

A maximum-eigenvalue test for the number of stochastic I(2) trends in a vector autoregression is suggested. The asymptotic distribution coincides with the distribution of the I(1) maximum-eigenvalue test. In two examples, the test reconciles empirical evidence with plausible economic scenarios.

Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
A “maximum-eigenvalue” test for the cointegration ranks in I(2) vector autoregressions
Authors
,