Testing the CVAR in the fractional CVAR model

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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 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.
OriginalsprogEngelsk
UdgivelsesstedAarhus
UdgiverInstitut for Økonomi, Aarhus Universitet
Antal sider13
StatusUdgivet - 24 okt. 2017
NavnCREATES Research Paper
Nummer2017-37

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