{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,6,21]],"date-time":"2025-06-21T07:40:05Z","timestamp":1750491605385,"version":"3.41.0"},"reference-count":3,"publisher":"Cambridge University Press (CUP)","issue":"3","license":[{"start":{"date-parts":[[2004,6,8]],"date-time":"2004-06-08T00:00:00Z","timestamp":1086652800000},"content-version":"unspecified","delay-in-days":7,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2004,6]]},"abstract":"<jats:p>This problem discusses an <jats:italic>I<\/jats:italic>(2) model in the VAR(1) case. \nThe <jats:italic>I<\/jats:italic>(2) representation theorem of Johansen (1992) (JRT) holds also for VAR(1) processes. The \n<jats:italic>I<\/jats:italic>(2) model for VAR(<jats:italic>k<\/jats:italic>) processes has been discussed \nfor <jats:italic>k<\/jats:italic> \u2265 2 in Johansen (1996, Ch. \n9; 1997). We here discuss a parametrization for \nthe <jats:italic>I<\/jats:italic>(2) case of VAR(1) that differs from the VAR(<jats:italic>k<\/jats:italic>) \nmodel.<\/jats:p>","DOI":"10.1017\/s0266466604203103","type":"journal-article","created":{"date-parts":[[2004,6,14]],"date-time":"2004-06-14T14:23:20Z","timestamp":1087223000000},"page":"639-640","source":"Crossref","is-referenced-by-count":1,"title":["04.3.1 An <i>I<\/i>(2) Model for VAR(1) Processes"],"prefix":"10.1017","volume":"20","author":[{"given":"Paolo","family":"Paruolo","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"56","published-online":{"date-parts":[[2004,6,8]]},"reference":[{"key":"S0266466604203103_ref002","doi-asserted-by":"crossref","unstructured":"Johansen, S. (1996)Likelihood-Based Inference in Cointegrated Vector Auto-regressiveModels.Oxford University Press.","DOI":"10.1093\/0198774508.001.0001"},{"key":"S0266466604203103_ref001","doi-asserted-by":"crossref","unstructured":"Johansen, S. (1992)A representation of vector autoregressive processes integrated oforder 2.Econometric Theory 8,188\u2013202.","DOI":"10.1017\/S0266466600012755"},{"key":"S0266466604203103_ref003","doi-asserted-by":"crossref","unstructured":"Johansen, S. (1997)A likelihood analysis of the I(2) model.Scandinavian Journal of Statistics 24,433\u2013462.","DOI":"10.1111\/1467-9469.00074"}],"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0266466604203103","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,6,21]],"date-time":"2025-06-21T07:11:54Z","timestamp":1750489914000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0266466604203103\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2004,6]]},"references-count":3,"journal-issue":{"issue":"3","published-print":{"date-parts":[[2004,12]]}},"alternative-id":["S0266466604203103"],"URL":"https:\/\/doi.org\/10.1017\/s0266466604203103","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"type":"print","value":"0266-4666"},{"type":"electronic","value":"1469-4360"}],"subject":[],"published":{"date-parts":[[2004,6]]}}}