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

Table 5: The short-run dynamic adjustment

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⁺^δ2^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

22

	0.85	0.24	0.93	-0.32
	[1.12]	[0.48]	[2.58]	[-0.02]
	-7.40	11.35	-1.88	-274.41
	[-0.68]	[1.57]	[-0.36]	[-1.00]
	-0.84	0.02	-1.39	3.38
	[-1.58]	[0.05]	[-5.52]	[0.25]
+	-0.59	-0.21	0.06	-12.26
+	[-11.16]	[-6.10]	[2.39]	[-9.16]
	0.14	-0.45	0.02	-20.69
	[1.73]	[-8.24]	[0.57]	[-9.86]
	0.16	0.11	0.46	8.41
	[2.91]	[2.95]	[17.62]	[5.98]
	0.23	0.64	-0.05	-12.02
	[3.52]	[14.71]	[-1.76]	[-7.30]

0.08
[0.01] 95.90				,- -,
[0.99]				^ε1,t
-1.17		β 1Δ^t-1		¾t
[-0.25]		β 2∆^t-1		ɛɜ,t
4.28 [9.16]		β 3∆¾-1	+	-¾t
7.23		^11,1^δ¾-1		⅛t
[9.85]		_ ^βɪ1,2^∆^ʃt-1		ɛð,t
-2.95 [-6.00]		_ ^βɪ1,2^∆^ʃt-1		. ^ε7,t _
4.20
[7.29]

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