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

Academic Article

Authors

  • Johansen, Soren
  • Juselius, Katarina
  • Frydman, Roman
  • Goldberg, Michael

    • Publication Date

  • September 15, 2010

    • Has Subject Area

    Published In

    Keywords

  • Forward premium puzzle
  • PPP puzzle
  • cointegrated VAR
  • likelihood inference

    • Start Page

  • 117

    • End Page

  • 129

    • Volume

  • 158