Book contents
- Frontmatter
- Contents
- Figures
- Tables
- Dedication
- Preface
- Part I Introduction and basic concepts
- Part II Unit roots and cointegration
- Part III Extensions of the basic model
- 8 The Bayesian analysis of stochastic trends
- 9 Fractional unit roots and fractional cointegration
- 10 Small sample inference: bootstrap methods
- 11 Cointegrated systems with I(2) variables
- 12 Seasonal unit roots and seasonal cointegration
- Part IV Structural change
- Appendix 1 A brief guide to asymptotic theory
- Author index
- Subject index
11 - Cointegrated systems with I(2) variables
Published online by Cambridge University Press: 04 August 2010
Book contents
- Frontmatter
- Contents
- Figures
- Tables
- Dedication
- Preface
- Part I Introduction and basic concepts
- Part II Unit roots and cointegration
- Part III Extensions of the basic model
- 8 The Bayesian analysis of stochastic trends
- 9 Fractional unit roots and fractional cointegration
- 10 Small sample inference: bootstrap methods
- 11 Cointegrated systems with I(2) variables
- 12 Seasonal unit roots and seasonal cointegration
- Part IV Structural change
- Appendix 1 A brief guide to asymptotic theory
- Author index
- Subject index
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- Unit Roots, Cointegration, and Structural Change , pp. 342 - 361Publisher: Cambridge University PressPrint publication year: 1999