Testing the CVAR in the Fractional CVAR Model
Copyright policy )Testing the CVAR in the Fractional CVAR Model
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.
- Queen's University Canada
- Aarhus University Denmark
- University of Copenhagen Denmark
- University of Copenhagen Denmark
cointegration, Cointegration, ddc:330, Asymptotic properties of parametric tests, Fractional processes, including fractional Brownian motion, Faculty of Social Sciences, likelihood inference, Time series, auto-correlation, regression, etc. in statistics (GARCH), /dk/atira/pure/core/keywords/FacultyOfSocialSciences, Cointegration, fractional integration, likelihood inference, vector autoregressive model, vector autoregressive model, fractional integration, C32
cointegration, Cointegration, ddc:330, Asymptotic properties of parametric tests, Fractional processes, including fractional Brownian motion, Faculty of Social Sciences, likelihood inference, Time series, auto-correlation, regression, etc. in statistics (GARCH), /dk/atira/pure/core/keywords/FacultyOfSocialSciences, Cointegration, fractional integration, likelihood inference, vector autoregressive model, vector autoregressive model, fractional integration, C32
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