Testing the CVAR in the Fractional CVAR Model

Publikation: Bidrag til tidsskriftTidsskriftartikelfagfællebedømt

Standard

Testing the CVAR in the Fractional CVAR Model. / Johansen, Søren; Nielsen, Morten Ørregaard.

I: Journal of Time Series Analysis, Bind 39, Nr. 6, 19.04.2018, s. 836–849.

Publikation: Bidrag til tidsskriftTidsskriftartikelfagfællebedømt

Harvard

Johansen, S & Nielsen, MØ 2018, 'Testing the CVAR in the Fractional CVAR Model', Journal of Time Series Analysis, bind 39, nr. 6, s. 836–849. https://doi.org/10.1111/jtsa.12300

APA

Johansen, S., & Nielsen, M. Ø. (2018). Testing the CVAR in the Fractional CVAR Model. Journal of Time Series Analysis, 39(6), 836–849. https://doi.org/10.1111/jtsa.12300

Vancouver

Johansen S, Nielsen MØ. Testing the CVAR in the Fractional CVAR Model. Journal of Time Series Analysis. 2018 apr. 19;39(6):836–849. https://doi.org/10.1111/jtsa.12300

Author

Johansen, Søren ; Nielsen, Morten Ørregaard. / Testing the CVAR in the Fractional CVAR Model. I: Journal of Time Series Analysis. 2018 ; Bind 39, Nr. 6. s. 836–849.

Bibtex

@article{1925c7369b014860b9b48560d574b061,
title = "Testing the CVAR in the Fractional CVAR Model",
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 = "Faculty of Social Sciences, Cointegration, fractional integration, likelihood inference, vector autoregressive model",
author = "S{\o}ren Johansen and Nielsen, {Morten {\O}rregaard}",
year = "2018",
month = apr,
day = "19",
doi = "10.1111/jtsa.12300",
language = "English",
volume = "39",
pages = "836–849",
journal = "Journal of Time Series Analysis",
issn = "0143-9782",
publisher = "Wiley-Blackwell",
number = "6",

}

RIS

TY - JOUR

T1 - Testing the CVAR in the Fractional CVAR Model

AU - Johansen, Søren

AU - Nielsen, Morten Ørregaard

PY - 2018/4/19

Y1 - 2018/4/19

N2 - 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.

AB - 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.

KW - Faculty of Social Sciences

KW - Cointegration

KW - fractional integration

KW - likelihood inference

KW - vector autoregressive model

U2 - 10.1111/jtsa.12300

DO - 10.1111/jtsa.12300

M3 - Journal article

VL - 39

SP - 836

EP - 849

JO - Journal of Time Series Analysis

JF - Journal of Time Series Analysis

SN - 0143-9782

IS - 6

ER -

ID: 193405036