Testing the CVAR in the fractional CVAR model

No 17-23, Discussion Papers from University of Copenhagen. Department of Economics

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.

Keywords: Cointegration; fractional integration; likelihood inference; vector autoregressive model. (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
Pages: 14 pages
Date: 2017-10-31
New Economics Papers: this item is included in nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.econ.ku.dk/english/research/publications/wp/dp_2017/1723.pdf (application/pdf)

Related works:
Journal Article: Testing the CVAR in the Fractional CVAR Model (2018)
Working Paper: Testing the CVAR in the fractional CVAR model (2017)
Working Paper: Testing The Cvar In The Fractional Cvar Model (2017)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:kud:kuiedp:1723

Access Statistics for this paper

More papers in Discussion Papers from University of Copenhagen. Department of Economics Oester Farimagsgade 5, Building 26, DK-1353 Copenhagen K., Denmark. Contact information at EDIRC.
Bibliographic data for series maintained by Thomas Hoffmann ().