Events and Meetings of Italian Statistical Society, Advances in Latent Variables - Methods, Models and Applications

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Testing hypothesis in VARs with I(2) and near-I(2) latent stochastic trends
Francesca Di Iorio, Stefano Fachin, Riccardo Lucchetti

Last modified: 2013-06-16

Abstract


We review the I(2) model in an empirical perspective, and report the results of some Monte Carlo simulations on the small sample performance of asymptotic tests on the long-run coefficients in I(2) and near-I(2) systems. The results how that, although moderate size bias tend to be present in both cases, the I(2) model may provide a suitable tool for analysing near-I(2) systems.

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