Testing The Cvar In The Fractional Cvar Model

Morten Nielsen and Soren Johansen

No 1394, Working Paper from Economics Department, Queen's University

Abstract: We consider the fractional cointegrated vector autoregressive (CVAR) model ofJohansen 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: cointegration; fractional integration; likelihood inference; vector autoregressive model (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
Pages: 16 pages
Date: 2017-10
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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https://www.econ.queensu.ca/sites/econ.queensu.ca/files/qed_wp_1394.pdf First version 2017 (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)
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Persistent link: https://EconPapers.repec.org/RePEc:qed:wpaper:1394

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