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| Author: | Haldrup, N. |
| Title: | An econometric analysis of I(2) variables |
| Journal: | Journal of Economic Surveys
1998 : DEC, VOL. 12:5, p. 595-650 |
| Index terms: | ECONOMICS ECONOMETRICS SURVEYS |
| Language: | eng |
| Abstract: | This paper provides a selective survey of the recent literature dealing with I(2) variables in economic time series, that is, processes that require to be differenced twice in order to become stationary. With reference to particular economic models intuition is provided of why I(2)-and polynominal cointegration are features likely to occur in economics. The properties of I(2) series are discussed and the author reviews topics such as: Testing for double unit roots, representations of I(2)cointegrated systems, and hypothesis testing in single equations. |
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