Testing the CVAR in the Fractional CVAR Model

Søren Johansen; Morten Ørregaard Nielsen

doi:10.1111/jtsa.12300

Testing the CVAR in the Fractional CVAR Model

Søren Johansen, Morten Ørregaard Nielsen

5 Citationer (Scopus)

Abstract

We consider the fractional cointegrated vector autoregressive (CVAR) model of
Johansen and Nielsen (2012a) and show that the likelihood ratio test statistic for the usual 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.

Originalsprog	Engelsk
Tidsskrift	Journal of Time Series Analysis
Vol/bind	39
Udgave nummer	6
Sider (fra-til)	836–849
ISSN	0143-9782
DOI	https://doi.org/10.1111/jtsa.12300
Status	Udgivet - nov. 2018

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10.1111/jtsa.12300

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title = "Testing the CVAR in the Fractional CVAR Model",

abstract = "We consider the fractional cointegrated vector autoregressive (CVAR) model ofJohansen and Nielsen (2012a) and show that the likelihood ratio test statistic for the usual 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.",

keywords = "Faculty of Social Sciences, Cointegration, fractional integration, likelihood inference, vector autoregressive model",

author = "S{\o}ren Johansen and Nielsen, {Morten {\O}rregaard}",

year = "2018",

month = nov,

doi = "10.1111/jtsa.12300",

language = "English",

volume = "39",

pages = "836–849",

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TY - JOUR

T1 - Testing the CVAR in the Fractional CVAR Model

AU - Johansen, Søren

AU - Nielsen, Morten Ørregaard

PY - 2018/11

Y1 - 2018/11

N2 - We consider the fractional cointegrated vector autoregressive (CVAR) model ofJohansen and Nielsen (2012a) and show that the likelihood ratio test statistic for the usual 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.

AB - We consider the fractional cointegrated vector autoregressive (CVAR) model ofJohansen and Nielsen (2012a) and show that the likelihood ratio test statistic for the usual 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.

KW - Faculty of Social Sciences

KW - Cointegration

KW - fractional integration

KW - likelihood inference

KW - vector autoregressive model

U2 - 10.1111/jtsa.12300

DO - 10.1111/jtsa.12300

M3 - Journal article

SN - 0143-9782

VL - 39

SP - 836

EP - 849

JO - Journal of Time Series Analysis

JF - Journal of Time Series Analysis

IS - 6

ER -

Testing the CVAR in the Fractional CVAR Model

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