On the identification of fractionally cointegrated VAR models with the F(d) condition

Federico Carlini () and Paolo Santucci de Magistris ()
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Federico Carlini: Aarhus University and CREATES, Postal: Department of Economics and Business, Fuglesangs Allé 4, 8210 Aarhus V, Denmark
Paolo Santucci de Magistris: Aarhus University and CREATES, Postal: Department of Economics and Business, Fuglesangs Allé 4, 8210 Aarhus V, Denmark

CREATES Research Papers from Department of Economics and Business Economics, Aarhus University

Abstract: This paper discusses identification problems in the fractionally cointegrated system of Johansen (2008) and Johansen and Nielsen (2012). The identification problem arises when the lag structure is over-specified, such that there exist several equivalent reparametrization of the model associated with different fractional integration and cointegration parameters. The properties of these multiple non-identified sub-models are studied and a necessary and sufficient condition for the identification of the fractional parameters of the system is provided. The condition is named F(d). The assessment of the F(d) condition in the empirical analysis is relevant for the determination of the fractional parameters as well as the lag structure.

Keywords: Fractional Cointegration; Cofractional Models; Identification; Lag (search for similar items in EconPapers)
JEL-codes: C19 C32 (search for similar items in EconPapers)
Pages: 26
Date: 2013-11-12
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (17)

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Related works:
Working Paper: On the identification of fractionally cointegrated VAR models with the F(d) condition (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:aah:create:2013-44

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