آیا برابری قدرت خرید و نرخ بهره برابری کشف شده در دراز مدت حفظ می شود؟ یک مثال از استنتاج احتمال در یک مدل سری زمانی چند متغیره

The long-run foreign transmission effects are analyzed in a multivariate time-series model of Danish and German prices, exchange rates and interest rates. The analysis of the likelihood function reveals that the vector process is I(2), but that a linear transformation of the prices and the nomical exchange rate removes the I(2) trend from the data. A structural representation of the full cointegration space is found to facilitate the understanding of the interaction between the goods and the capital market and hence the mechanisms behind the inflationary effects transmitted from abroad.