Likelihood inference for a fractionally cointegrated vector autoregressive model

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Standard

Likelihood inference for a fractionally cointegrated vector autoregressive model. / Johansen, Søren; Ørregård Nielsen, Morten.

I: Econometrica, Bind 80, Nr. 6, 11.2012, s. 2667-2732.

Publikation: Bidrag til tidsskriftTidsskriftartikelfagfællebedømt

Harvard

Johansen, S & Ørregård Nielsen, M 2012, 'Likelihood inference for a fractionally cointegrated vector autoregressive model', Econometrica, bind 80, nr. 6, s. 2667-2732. https://doi.org/10.3982/ECTA9299

APA

Johansen, S., & Ørregård Nielsen, M. (2012). Likelihood inference for a fractionally cointegrated vector autoregressive model. Econometrica, 80(6), 2667-2732. https://doi.org/10.3982/ECTA9299

Vancouver

Johansen S, Ørregård Nielsen M. Likelihood inference for a fractionally cointegrated vector autoregressive model. Econometrica. 2012 nov.;80(6):2667-2732. https://doi.org/10.3982/ECTA9299

Author

Johansen, Søren ; Ørregård Nielsen, Morten. / Likelihood inference for a fractionally cointegrated vector autoregressive model. I: Econometrica. 2012 ; Bind 80, Nr. 6. s. 2667-2732.

Bibtex

@article{b78ba6496cc645b5b8f785c2f8125928,
title = "Likelihood inference for a fractionally cointegrated vector autoregressive model",
abstract = "We consider model based inference in a fractionally cointegrated (or cofractional) vector autoregressive model with a restricted constant term, ¿, based on the Gaussian likelihood conditional on initial values. The model nests the I(d) VAR model. 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 {\ss} for which {\ss}'X_{t} is fractional of order d-b, and no other fractionality order is possible. We define the statistical model by 01/2, we prove that the limit distribution of ({\ss}',¿')' is mixed Gaussian and for the remaining parameters it is Gaussian. The limit distribution of the likelihood ratio test for cointegration rank is a functional of fractional Brownian motion of type II extended by u^{-(d0-b0)}. If b0<1/2 all limit distributions are Gaussian or chi-squared.",
keywords = "Faculty of Social Sciences, Cofractional processes, cointegration rank, fractional cointegration, likelihood inference, vector autoregressive model",
author = "S{\o}ren Johansen and {{\O}rreg{\aa}rd Nielsen}, Morten",
year = "2012",
month = nov,
doi = "10.3982/ECTA9299",
language = "English",
volume = "80",
pages = "2667--2732",
journal = "Econometrica",
issn = "0012-9682",
publisher = "Wiley-Blackwell",
number = "6",

}

RIS

TY - JOUR

T1 - Likelihood inference for a fractionally cointegrated vector autoregressive model

AU - Johansen, Søren

AU - Ørregård Nielsen, Morten

PY - 2012/11

Y1 - 2012/11

N2 - We consider model based inference in a fractionally cointegrated (or cofractional) vector autoregressive model with a restricted constant term, ¿, based on the Gaussian likelihood conditional on initial values. The model nests the I(d) VAR model. 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 ß for which ß'X_{t} is fractional of order d-b, and no other fractionality order is possible. We define the statistical model by 01/2, we prove that the limit distribution of (ß',¿')' is mixed Gaussian and for the remaining parameters it is Gaussian. The limit distribution of the likelihood ratio test for cointegration rank is a functional of fractional Brownian motion of type II extended by u^{-(d0-b0)}. If b0<1/2 all limit distributions are Gaussian or chi-squared.

AB - We consider model based inference in a fractionally cointegrated (or cofractional) vector autoregressive model with a restricted constant term, ¿, based on the Gaussian likelihood conditional on initial values. The model nests the I(d) VAR model. 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 ß for which ß'X_{t} is fractional of order d-b, and no other fractionality order is possible. We define the statistical model by 01/2, we prove that the limit distribution of (ß',¿')' is mixed Gaussian and for the remaining parameters it is Gaussian. The limit distribution of the likelihood ratio test for cointegration rank is a functional of fractional Brownian motion of type II extended by u^{-(d0-b0)}. If b0<1/2 all limit distributions are Gaussian or chi-squared.

KW - Faculty of Social Sciences

KW - Cofractional processes, cointegration rank, fractional cointegration, likelihood inference, vector autoregressive model

U2 - 10.3982/ECTA9299

DO - 10.3982/ECTA9299

M3 - Journal article

VL - 80

SP - 2667

EP - 2732

JO - Econometrica

JF - Econometrica

SN - 0012-9682

IS - 6

ER -

ID: 41860906