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Keywordssingle-equations; large N asymptotics; integrated series with drift; cointegration; I(2); vector autoregression; representation; maximum likelihood estimation; reduced rank regression; generalized least squares; long-run inference; test on cointegrating relations; likelihood inference; vector autoregressive model; near unit roots; Bonferroni type adjusted quantiles; debt sustainability; credit losses; financial crises; financial obligations; smooth transition regression; non-linear cointegration; cointegration; common trends; identification; VAR; I(2); exchange rate; long swings; I(2) analysis; theory-consistent CVAR; imperfect Knowledge; theory-based expectations; international puzzles; long swings; persistence; cointegration of trends; state space models; cointegrated vector autoregressive models; asset pricing; cointegration; I(2) analysis; housing market; imperfect knowledge; Knightian uncertainty; long swings; maximum likelihood; Monte Carlo; VAR; cointegration; I(1); I(2); n/a
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