This paper provides a selective survey of the recent literature dealing with I (2) variables in
economic time series, that is, processes that require to be differenced twice in order to …

This valuable text provides a comprehensive introduction to VAR modelling and how it can
be applied. In particular, the author focuses on the properties of the Cointegrated VAR …

This survey paper discusses the Cointegrated Vector AutoRegressive (CVAR) methodology
and how it has evolved over the past 30 years. It describes major steps in the econometric …

This paper addresses the problem of inference on the moving average impact matrix and on
its row and column spaces in cointegrated 1 (1) VAR processes. The choice of bases (ie, the …

This chapter considers the methodology of empirical econometric modeling. The historical
background is reviewed from before the Cowles Foundation to the rise of economic theory …

Usually cointegration models involve a dynamic, stochastic component as well as
deterministic components. This paper identifies relevant cointegration models in terms of …

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 …

This paper establishes the necessary and sufficient condition for nominal-to-real data
transformations routinely used in empirical work to reduce the order of integration of an I (2) …

The PPP puzzle refers to the wide swings of nominal exchange rates around their long‐run
equilibrium values whereas the excess return puzzle represents the persistent deviation of …

This paper uses consensus forecasts to address empirical puzzles in international macro
using the Cointegrated VAR model. The data, consisting of three-month Libor rates, their …