Likelihood Inference For A Fractionally Cointegrated Vector Autoregressive Model

Morten Nielsen and Soren Johansen

No 1237, Working Paper from Economics Department, Queen's University

Abstract: We consider model based inference in a fractionally cointegrated (or cofractional) vector autoregressive model, based on the Gaussian likelihood conditional on initial values. We give conditions on the parameters such that the process X_{t} is fractional of order d and cofractional of order d-b; that is, there exist vectors ? for which ??X_{t} is fractional of order d-b, and no other fractionality order is possible. For b=1, the model nests the I(d-1) VAR model. We define the statistical model by 0

Keywords: Cofractional processes; cointegration rank; fractional cointegration; likelihood inferencw; vector autoregressive model (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
Pages: 47 pages
Date: 2010-05
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ore
References: Add references at CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
https://www.econ.queensu.ca/sites/econ.queensu.ca/files/wpaper/qed_wp_1237.pdf First version 2010 (application/pdf)

Related works:
Journal Article: Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model (2012)
Working Paper: Likelihood inference for a fractionally cointegrated vector autoregressive model (2010)
Working Paper: Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model (2010)
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:qed:wpaper:1237

Access Statistics for this paper

More papers in Working Paper from Economics Department, Queen's University Contact information at EDIRC.
Bibliographic data for series maintained by Mark Babcock ().