Testing the CVAR in the Fractional CVAR Model
Research output: Contribution to journal › Journal article › Research › peer-review
Standard
Testing the CVAR in the Fractional CVAR Model. / Johansen, Søren; Nielsen, Morten Ørregaard.
In: Journal of Time Series Analysis, Vol. 39, No. 6, 19.04.2018, p. 836–849.Research output: Contribution to journal › Journal article › Research › peer-review
Harvard
APA
Vancouver
Author
Bibtex
}
RIS
TY - JOUR
T1 - Testing the CVAR in the Fractional CVAR Model
AU - Johansen, Søren
AU - Nielsen, Morten Ørregaard
PY - 2018/4/19
Y1 - 2018/4/19
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
VL - 39
SP - 836
EP - 849
JO - Journal of Time Series Analysis
JF - Journal of Time Series Analysis
SN - 0143-9782
IS - 6
ER -
ID: 193405036