Department of Economics and Business Economics

Testing the CVAR in the fractional CVAR model

Research output: Working paperResearch


  • rp17_37

    Final published version, 463 KB, PDF document

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
Publication statusPublished - 24 Oct 2017
SeriesCREATES Research Papers

    Research areas

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

See relations at Aarhus University Citationformats

Download statistics

No data available

ID: 118236890