Testing the CVAR in the fractional CVAR model

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We consider the fractional cointegrated vector autoregressive (CVAR) model of Johansen and Nielsen (2012a) and show that the test statistic for the ususal CVAR model is asymptotically chi-squared distributed. Because the usual CVAR model lies
on the boundary of the parameter space for the fractional CVAR in Johansen and Nielsen (2012a), the analysis requires the study of the fractional CVAR model on a slightly larger parameter space so that the CVAR model lies in the interior. This in
turn implies some further analysis of the asymptotic properties of the fractional CVAR model.
Original languageEnglish
Place of PublicationAarhus
PublisherInstitut for Økonomi, Aarhus Universitet
Number of pages13
StatePublished - 24 Oct 2017
SeriesCREATES Research Papers
Number2017-37

    Research areas

  • Cointegration, fractional integration, likelihood inference, vector autoregressive model

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ID: 118236890