Testing the CVAR in the Fractional CVAR Model

13 Pages Posted: 2 Nov 2017

See all articles by Soren Johansen

Soren Johansen

University of Copenhagen - Department of Economics; Aarhus University - CREATES

Morten Ørregaard Nielsen

Queen's University - Department of Economics

Date Written: October 24, 2017

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

JEL Classification: C32

Suggested Citation

Johansen, Soren and Nielsen, Morten Orregaard, Testing the CVAR in the Fractional CVAR Model (October 24, 2017). Available at SSRN: https://ssrn.com/abstract=3063164 or http://dx.doi.org/10.2139/ssrn.3063164

Soren Johansen

University of Copenhagen - Department of Economics ( email )

Øster Farimagsgade 5
Bygning 26
1353 Copenhagen K.
Denmark

Aarhus University - CREATES ( email )

Nordre Ringgade 1
Aarhus, DK-8000
Denmark

Morten Orregaard Nielsen (Contact Author)

Queen's University - Department of Economics ( email )

94 University Avenue
Kingston K7L 3N6, Ontario
Canada

HOME PAGE: http://www.econ.queensu.ca/faculty/nielsen/

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
20
Abstract Views
332
PlumX Metrics