Testing the CVAR in the fractional CVAR model

Søren Johansen; Morten Ørregaard Nielsen

Testing the CVAR in the fractional CVAR model

Søren Johansen, Morten Ørregaard Nielsen

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.

Original language	English
Number of pages	13
Publication status	Published - 2017

Series	University of Copenhagen. Institute of Economics. Discussion Papers (Online)
Number	17-23
ISSN	1601-2461

Keywords

Faculty of Social Sciences
Cointegration
fractional integration
likelihood inference
vector autoregressive model
C32

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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.",

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T1 - Testing the CVAR in the fractional CVAR model

AU - Johansen, Søren

AU - Nielsen, Morten Ørregaard

PY - 2017

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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 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 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.

KW - Faculty of Social Sciences

KW - Cointegration

KW - fractional integration

KW - likelihood inference

KW - vector autoregressive model

KW - C32

M3 - Working paper

T3 - University of Copenhagen. Institute of Economics. Discussion Papers (Online)

BT - Testing the CVAR in the fractional CVAR model

ER -

Testing the CVAR in the fractional CVAR model

Abstract

Keywords

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