An Econometric Analysis of I(2) Variables
综述了经济时间序列中I(2)变量（需差分两次才平稳）的文献，解释为何会出现I(2)和多项式协整，并介绍双单位根检验、系统表示及假设检验方法，适合对非平稳时间序列感兴趣的计量经济学研究者。
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 become stationary. With reference to particular economic models intuition is provided of why I(2)‐and polynomial cointegration are features likely to occur in economics. The properties of I(2) series are discussed and I review topics such as: Testing for double unit roots, representations of I(2) cointegrated systems, and hypothesis testing in single equations as well as in systems of equations. Different data sets are used to illustrate the various econometric and statistical techniques.