A NOTE ON TESTING RESTRICTIONS FOR THE COINTEGRATION PARAMETERS OF A VAR WITH I(2) VARIABLES
简要介绍了I(2)变量协整的向量自回归模型，展示了如何将一些经济关系表述为I(2)框架，使得似然比检验渐近服从卡方分布，对从事非平稳时间序列计量研究的学者有参考价值。
We give a brief introduction to the vector autoregressive model for cointegrated I(2) variables and show how some plausible economic relations can be formulated in the I(2) framework in such a way that likelihood ratio tests for their validity are asymptotically χ2 distributed.The authors thank Paolo Paruolo for helpful comments and the ESF for financial support in the framework of the EMM network.