This paper discusses the I (2) model with breaks in the deterministic component and
illustrates the model with an analysis of German and US prices, exchange rates, and interest …

We test long-run Purchasing Power Parity (PPP) within a general model of cointegration of
linear and nonlinear form. Nonlinear cointegration is tested with rank tests of Breitung. We …

This paper presents the likelihood ratio (LR) test for the number of cointegrating relations in
the I (2) vector autoregressive model. It is shown that the asymptotic distribution of the LR …

Researchers seldom find evidence of I (2) in exchange rates, prices, and other
macroeconomics time series when they test the order of integration using univariate Dickey …

We propose a residual-based augmented Dickey–Fuller (ADF) test statistic that allows for
detection of stationary cointegration within a system that may contain both I (2) and I (1) …

We use the Johansen cointegration approach to assess the empirical validity of the
purchasing power parity (PPP) between the UK and Germany since the introduction of the …

This paper discusses summary measures for the speed of adjustment in possibly
cointegrated Vector Autoregressive Processes (VAR). In particular we propose long-run half …

This paper presents likelihood analysis of the I (2) cointegrated vector autoregression which
allows for piecewise linear deterministic terms. Limiting behaviour of the maximum …

Asset prices undergo long swings that revolve around benchmark levels. In currency
markets, fluctuations involve real exchange rates that are highly persistent and that move in …

I utilize the I (2) cointegration model to assess the empirical relevance of the environmental
Kuznets curve for CO2 emissions in the US between 1960 and 2014. This takes the non …