J0rgensen, С. (1998), A simulation study of tests in the cointegrated VAR model.
Ph.D. thesis, Department of Economics, University of Copenhagen.
Kongsted, H. C. (2003), An 1(2) cointegration analysis of small country import
price determiniation. Econometrics Journal 12, 163-178.
Kongsted, H. C. (2005), Testing the nominal-to-real transformation. Journal of
Econometrics 124, 205-225.
Kongsted, H. C. and H. B. Nielsen (2004), Analyzing I(2) Systems by Transformed
Vector Autoregressions. Oxford Bulletin of Economics and Statistics 66, 379-397.
Kongsted, H. C., Rahbek, A., and C. J0rgensen (1999), Trend stationarity in the
I(2) cointegration model. Journal of Econometrics 90, 265-289.
Nielsen, H. B. (2004), Cointegration Analysis in the Presence of Outliers. The
Econometrics Journal 7, 249-271.
Nielsen, H. B. and A. Rahbek, (2007), The Likelihood Ratio Test for Cointegration
Ranks in the I(2) Model. Econometric Theory 23, 615-637.
Nielsen, B. and A. Rahbek (2000) Similarity issues in cointegration Analysis. Oxford
Bulletin of Economics and Statistics 62, 5-22.
Paruolo P. (2000), Asymptotic efficiency of the two stage estimator in I(2) systems.
Econometric Theory 16, 524-550.
Paruolo P. (2002), Asymptotic inference on the moving average impact matrix in
cointegrated 1(2) VAR systems. Econometric Theory 18, 673-690.
Paruolo, P. and A. Rahbek (1999), Weak Exogeneity in I(2) VAR Systems. Journal
of Econometrics 93, 281-308.
Rogoff, K. (1996), The purchasing power parity puzzle. Journal of Economic
Literature 34, 647-68.
27