Testing Hypotheses in an I(2) Model with Applications to the Persistent Long Swings in the Dmk/$ Rate

Δ² pp_t
∆²∙^s12,i
Δ²Δp₂,t

Δ‰
^δ2⅛
∆²∙^s∣√
Δ²S2,t

=

0.39   0.29   -0.29

[3.99]         [4.53]        [-3.00]

-4.47 2.88   -1.47

[-3.19]        [3.11]        [-1.05]

-0.59 -0.29 -0.48

[-8.62]      [-6.48]      [-6.98]

0.00   -0.03   0.01

[0.67]        [-6.57]       [1.44]

-0.03   0.00    0.00

[-2.86]        [0.29]         [0.33]

0.03   -0.06   0.02

[4.59]      [-13.55]      [2.67]

-0.04   0.00   -0.02

[-4.86]       [0.66]       [-2.39]

Γ β⅛-1 + ^_lΔ¾-1
^β2¾-1^{+ δ}2^δ¾-1  ⁺

|_ ^3¾-1 + ¾δ¾-1 _

1.00

0.12

1.00

-0.58

-0.07

1.00

with Ω =

-0.04

-0.04

0.15

1.00

0.00

0.03

0.15

0.31

1.00

-0.04

-0.03

0.12

0.35

-0.07

1.00

0.02

0.06

0.01

0.18

0.19

0.11 1.00