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- rp17_37
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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.

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 language | English |
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Place of Publication | Aarhus |

Publisher | Institut for Økonomi, Aarhus Universitet |

Number of pages | 13 |

State | Published - 24 Oct 2017 |

Series | CREATES Research Papers |
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Number | 2017-37 |

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

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ID: 118236890