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Testing the CVAR in the fractional CVAR model
Søren Johansen
, Morten Ørregaard Nielsen
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Mathematics
Asymptotic Properties
9%
Chi-squared
13%
Fractional
48%
Imply
7%
Interior
9%
Parameter Space
21%
Test Statistic
9%
Testing
47%
Vector Autoregressive Model
100%