Department of Economics and Business Economics

Nonstationary cointegration in the fractionally cointegrated VAR model

Research output: Working paper

Standard

Nonstationary cointegration in the fractionally cointegrated VAR model. / Johansen, Søren; Nielsen, Morten Ørregaard.

Aarhus : Institut for Økonomi, Aarhus Universitet, 2018.

Research output: Working paper

Harvard

Johansen, S & Nielsen, MØ 2018 'Nonstationary cointegration in the fractionally cointegrated VAR model' Institut for Økonomi, Aarhus Universitet, Aarhus.

APA

Johansen, S., & Nielsen, M. Ø. (2018). Nonstationary cointegration in the fractionally cointegrated VAR model. Aarhus: Institut for Økonomi, Aarhus Universitet. CREATES Research Papers, No. 2018-17

CBE

Johansen S, Nielsen MØ. 2018. Nonstationary cointegration in the fractionally cointegrated VAR model. Aarhus: Institut for Økonomi, Aarhus Universitet.

MLA

Johansen, Søren and Morten Ørregaard Nielsen Nonstationary cointegration in the fractionally cointegrated VAR model. Aarhus: Institut for Økonomi, Aarhus Universitet. (CREATES Research Papers; Journal number 2018-17). 2018., 27 p.

Vancouver

Johansen S, Nielsen MØ. Nonstationary cointegration in the fractionally cointegrated VAR model. Aarhus: Institut for Økonomi, Aarhus Universitet. 2018 May 17.

Author

Johansen, Søren ; Nielsen, Morten Ørregaard. / Nonstationary cointegration in the fractionally cointegrated VAR model. Aarhus : Institut for Økonomi, Aarhus Universitet, 2018. (CREATES Research Papers; No. 2018-17).

Bibtex

@techreport{080155bb90974a649b34f91cbbcd8edf,
title = "Nonstationary cointegration in the fractionally cointegrated VAR model",
abstract = "We consider the fractional cointegrated vector autoregressive (CVAR) model of Johansen and Nielsen (2012a) and make two distinct contributions. First, in their consistency proof, Johansen and Nielsen (2012a) imposed moment conditions on the errors that depend on the parameter space, such that when the parameter space is larger, stronger moment conditions are required. We show that these moment conditions can be relaxed, and for consistency we require just eight moments regardless of the parameter space. Second, Johansen and Nielsen (2012a) assumed that the cointegrating vectors are stationary, and we extend the analysis to include the possibility that the cointegrating vectors are nonstationary. Both contributions require new analysis and results for the asymptotic properties of the likelihood function of the fractional CVAR model, which we provide. Finally, our analysis follows recent research and applies a parameter space large enough that the usual (non-fractional) CVAR model constitutes an interior point and hence can be tested against the fractional model using a khi2-test.",
keywords = "Cointegration, fractional integration, likelihood inference, vector autoregressive model",
author = "S{\o}ren Johansen and Nielsen, {Morten {\O}rregaard}",
year = "2018",
month = "5",
day = "17",
language = "English",
publisher = "Institut for {\O}konomi, Aarhus Universitet",
type = "WorkingPaper",
institution = "Institut for {\O}konomi, Aarhus Universitet",

}

RIS

TY - UNPB

T1 - Nonstationary cointegration in the fractionally cointegrated VAR model

AU - Johansen,Søren

AU - Nielsen,Morten Ørregaard

PY - 2018/5/17

Y1 - 2018/5/17

N2 - We consider the fractional cointegrated vector autoregressive (CVAR) model of Johansen and Nielsen (2012a) and make two distinct contributions. First, in their consistency proof, Johansen and Nielsen (2012a) imposed moment conditions on the errors that depend on the parameter space, such that when the parameter space is larger, stronger moment conditions are required. We show that these moment conditions can be relaxed, and for consistency we require just eight moments regardless of the parameter space. Second, Johansen and Nielsen (2012a) assumed that the cointegrating vectors are stationary, and we extend the analysis to include the possibility that the cointegrating vectors are nonstationary. Both contributions require new analysis and results for the asymptotic properties of the likelihood function of the fractional CVAR model, which we provide. Finally, our analysis follows recent research and applies a parameter space large enough that the usual (non-fractional) CVAR model constitutes an interior point and hence can be tested against the fractional model using a khi2-test.

AB - We consider the fractional cointegrated vector autoregressive (CVAR) model of Johansen and Nielsen (2012a) and make two distinct contributions. First, in their consistency proof, Johansen and Nielsen (2012a) imposed moment conditions on the errors that depend on the parameter space, such that when the parameter space is larger, stronger moment conditions are required. We show that these moment conditions can be relaxed, and for consistency we require just eight moments regardless of the parameter space. Second, Johansen and Nielsen (2012a) assumed that the cointegrating vectors are stationary, and we extend the analysis to include the possibility that the cointegrating vectors are nonstationary. Both contributions require new analysis and results for the asymptotic properties of the likelihood function of the fractional CVAR model, which we provide. Finally, our analysis follows recent research and applies a parameter space large enough that the usual (non-fractional) CVAR model constitutes an interior point and hence can be tested against the fractional model using a khi2-test.

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

M3 - Working paper

BT - Nonstationary cointegration in the fractionally cointegrated VAR model

PB - Institut for Økonomi, Aarhus Universitet

CY - Aarhus

ER -