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I(2) Cointegration in Macroeconometric Modelling: Tourism Price and Inflation Dynamics

Sergej Gričar et al.

Econometrics2026https://doi.org/10.3390/econometrics14010002article
AJG 1ABDC B
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0.50

Abstract

This study enhances macroeconometric modelling by utilising an I(2) cointegration framework to analyse the dynamic link between tourism prices and inflation in Slovenia and the Eurozone. Using monthly data from 2000 to 2017, we estimate cointegrated VAR models that capture long-run equilibria, short-run adjustments, and persistent deviations inherent in I(2) processes. The results reveal strong spillover effects from Slovenian tourism and input prices to Eurozone inflation and hospitality prices in the short run, while Eurozone-wide shocks dominate the long-run dynamics. By explicitly accounting for nonstationarity, structural breaks, and seasonal patterns, the I(2) model provides a more reliable framework than traditional I(1)-based approaches, which are often prone to misspecification when higher-order integration and persistent deviations are ignored. The findings contribute to macroeconometric theory by demonstrating the value of I(2) cointegration in modelling complex price systems and offer policy insights into inflation management and competitiveness in tourism-dependent economies.

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https://doi.org/https://doi.org/10.3390/econometrics14010002

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@article{sergej2026,
  title        = {{I(2) Cointegration in Macroeconometric Modelling: Tourism Price and Inflation Dynamics}},
  author       = {Sergej Gričar et al.},
  journal      = {Econometrics},
  year         = {2026},
  doi          = {https://doi.org/https://doi.org/10.3390/econometrics14010002},
}

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I(2) Cointegration in Macroeconometric Modelling: Tourism Price and Inflation Dynamics

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F · citation impact0.50 × 0.4 = 0.20
M · momentum0.50 × 0.15 = 0.07
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R · text relevance †0.50 × 0.4 = 0.20

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