Li, Yuanyuan; Bauer, Dietmar: Modeling I(2) Processes Using Vector Autoregressions Where the Lag Length Increases with the Sample Size. In: Econometrics. Vol.8 Issue 3. 2020
Content
- Data Generating Process and Assumptions
- Unrestricted Estimation
- Rank Restricted Regression
- Initial Guess for VARMA Estimation
- Conclusions
- Preliminaries
- Proof of Theorem 1
- (A) Consistency
- (B) Asymptotic Distribution of Coefficients to Nonstationary Regressors
- (C) Asymptotic Distribution of Coefficients to Stationary Regressors
- (D) Asymptotic Distribution of Wald Type Tests
- Proof of Theorem 2
- Proofs for Theorem 3
- Proof of Theorem 4
- Stochastic Realization Using Overlapping Echelon Forms
- References