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



Macmillan, reprinted in J.A. Frankel ed., On Exchange Rates, Cambridge MA: The
MIT Press, chapter 1,1995.

Frydman, R. and M. Goldberg (2007), Imperfect Knowledge Economics: Exchange
rates and Risk.
Princeton University Press, Princeton

Frydman, R., Goldberg, M.. K. Jnselins, and S. Johansen (2007), Reexamining
the Pnrchasing Power Parity Pnzzle with Imperfect Knowledge Economics, Preprint,
University of Copenhagen.

Gonzalo, J. (1994), Five alternative methods of estimating long-rnn eqnilibrinm
relationships.
Journal of Econometrics, 60, 203-233.

Hansen, H. and S. Johansen (1999), Some tests for parameter constancy in the
cointegrated VAR.
Econometrics Journal 2, 306-333.

Hoover, K. (2006), The Past as the Fntnre: The Marshallian Approach to Post-
Walrasian Macro. In D. Colander (Ed.),
Post Walrasian Economics: Beyond the Dy-
namic Stochastic General Equilibrium Model,
Chapter 12. Cambridge University Press:
Cambridge, Mass.

Johansen, S. (1992a), An I(2) Cointegration Analysis of the Pnrchasing Power Par-
ity between Anstralia and the United States. In C. Hargreaves (Ed.),
Macroeconomic
Modelling of the Long Run,
229-248. Edward Elgar.

Johansen, S. (1992b), A Representation of Vector Antoregressive Processes Inte-
grated of Order 2.
Econometric Theory 8, 188-202.

Johansen, S. (1995), Likelihood-Based Inference in Cointegrated Vector Autoregres-
sive Models.
2.ed. 1996 Oxford University Press, Oxford.

Johansen, S. (1997), Likelihood Analysis of the I(2) Model. Scandinavian Journal
of Statistics 24,
433-462.

Johansen, S. (2006), Statistical analysis of hypotheses on the cointegrating relations
in the
I(2) model. Journal of Econometrics 132, 81-115.

Johansen, S and Jnselins, K. (2001) Controlling inflation in a cointegrated vec-
tor antoregressive model, Discnssion paper 03, Institnte of Economics, University of
Copenhagen,
www.econ.kn.dk/okokj/

Jnselins, K. (1994), On the Dnality Between Long-rnn Relations and Common
Trends in the I(1) and the I(2) case. An Application to Aggregate Money Holdings,
Econometric Reviews, 13,2.

Jnselins, K., and MacDonald, R. (2004), The International Parities Between USA
and Japan.
Japan and the World Economy, 16, 17-34

Jnselins, K., and MacDonald, R. (2007), International Parity Relationships be-
tween Germany and the United States: A Joint Modelling Approach. In: A. Morales-
Znmaqnero (Ed.),
International Macroeconomics: Recent Development. Nova Science
Pnblishers.

Jnselins, K. (2006), The Cointegrated VAR Model: Methodology and Applications.
Oxford University Press, Oxford.

Jnselins, K. and Franchi, M. (2007), Taking a DSGE Model to the Data Meaning-
fnlly,
Economics, 4, 1.

26



More intriguing information

1. Putting Globalization and Concentration in the Agri-food Sector into Context
2. Food Prices and Overweight Patterns in Italy
3. The name is absent
4. Experience, Innovation and Productivity - Empirical Evidence from Italy's Slowdown
5. Real Exchange Rate Misalignment: Prelude to Crisis?
6. Business Networks and Performance: A Spatial Approach
7. The name is absent
8. The name is absent
9. Housing Market in Malaga: An Application of the Hedonic Methodology
10. Imperfect competition and congestion in the City