Testing the CVAR in the fractional CVAR model

Research output: Working paperResearch

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.
Original languageEnglish
Number of pages13
Publication statusPublished - 2017
SeriesUniversity of Copenhagen. Institute of Economics. Discussion Papers (Online)

    Research areas

  • Faculty of Social Sciences - Cointegration, fractional integration, likelihood inference, vector autoregressive model, C32

ID: 190435681