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Testing the CVAR in the fractional CVAR model
Søren Johansen
, Morten Ørregaard Nielsen
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Keyphrases
Vector Auto-regressive
100%
Cointegrated Vector Autoregressive Model
100%
Parameter Space
28%
Further Analysis
14%
Test Statistic
14%
Large Parameter
14%
Chi-square
14%
Asymptotic Properties
14%
Mathematics
Autoregressive Model
100%
Parameter Space
28%
Asymptotic Property
14%
Test Statistic
14%