Department of Economics and Business Economics

Testing the CVAR in the fractional CVAR model

Research output: ResearchWorking paper

Standard

Testing the CVAR in the fractional CVAR model. / Johansen, Søren; Nielsen, Morten Ørregaard.

Aarhus : Institut for Økonomi, Aarhus Universitet, 2017.

Research output: ResearchWorking paper

Harvard

Johansen, S & Nielsen, MØ 2017 'Testing the CVAR in the fractional CVAR model' Institut for Økonomi, Aarhus Universitet, Aarhus.

APA

Johansen, S., & Nielsen, M. Ø. (2017). Testing the CVAR in the fractional CVAR model. Aarhus: Institut for Økonomi, Aarhus Universitet. CREATES Research Papers, No. 2017-37

CBE

Johansen S, Nielsen MØ. 2017. Testing the CVAR in the fractional CVAR model. Aarhus: Institut for Økonomi, Aarhus Universitet.

MLA

Johansen, Søren and Morten Ørregaard Nielsen Testing the CVAR in the fractional CVAR model. Aarhus: Institut for Økonomi, Aarhus Universitet. (CREATES Research Papers; Journal number 2017-37). 2017., 13 p.

Vancouver

Johansen S, Nielsen MØ. Testing the CVAR in the fractional CVAR model. Aarhus: Institut for Økonomi, Aarhus Universitet. 2017 Oct 24.

Author

Johansen, Søren ; Nielsen, Morten Ørregaard. / Testing the CVAR in the fractional CVAR model. Aarhus : Institut for Økonomi, Aarhus Universitet, 2017. (CREATES Research Papers; No. 2017-37).

Bibtex

@techreport{b3e3722c06124318bc59a5c335abe413,
title = "Testing the CVAR in the fractional CVAR model",
abstract = "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 lieson 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 inturn implies some further analysis of the asymptotic properties of the fractional CVAR model.",
keywords = "Cointegration, fractional integration, likelihood inference, vector autoregressive model",
author = "Søren Johansen and Nielsen, {Morten Ørregaard}",
year = "2017",
month = "10",
publisher = "Institut for Økonomi, Aarhus Universitet",
type = "WorkingPaper",
institution = "Institut for Økonomi, Aarhus Universitet",

}

RIS

TY - UNPB

T1 - Testing the CVAR in the fractional CVAR model

AU - Johansen,Søren

AU - Nielsen,Morten Ørregaard

PY - 2017/10/24

Y1 - 2017/10/24

N2 - 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 lieson 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 inturn implies some further analysis of the asymptotic properties of the fractional CVAR model.

AB - 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 lieson 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 inturn implies some further analysis of the asymptotic properties of the fractional CVAR model.

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

M3 - Working paper

BT - Testing the CVAR in the fractional CVAR model

PB - Institut for Økonomi, Aarhus Universitet

ER -