Testing the CVAR in the fractional CVAR model

Soren Johansen and Morten ßrregaard Nielsen

No 274720, Queen's Economics Department Working Papers from Queen's University - Department of Economics

Abstract: We consider the fractional cointegrated vector autoregressive (CVAR) model of Johansen and Nielsen (2012a) and show that the likelihood ratio test statistic for the usual 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: Financial; Economics (search for similar items in EconPapers)
Pages: 17
Date: 2017-10
References: Add references at CitEc
Citations:

Downloads: (external link)
https://ageconsearch.umn.edu/record/274720/files/qed_wp_1394.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)
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:ags:quedwp:274720

DOI: 10.22004/ag.econ.274720

Access Statistics for this paper

More papers in Queen's Economics Department Working Papers from Queen's University - Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by AgEcon Search ().