The <i>I</i>(2) Model and a Test for <i>I</i>(2)

Søren Johansen

in Likelihood-Based Inference in Cointegrated Vector Autoregressive Models

Published in print December 1995 | ISBN: 9780198774501
Published online November 2003 | e-ISBN: 9780191596476 | DOI:

Series: Advanced Texts in Econometrics

 							The I(2) Model and a Test for I(2)

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We define the I(2) model as a sub‐model of the general vector autoregressive model and discuss various modifications of the model by restricting the deterministic terms. We derive a misspecification test for I(2)components, in order to check the validity of the I(1) model.

Keywords: I(2) model; misspecification test

Chapter.  3651 words. 

Subjects: Econometrics and Mathematical Economics

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