Testing the CVAR in the fractional CVAR model

Søren Johansen (University of Copenhagen and CREATES), Morten Ørregaard Nielsen (Queen's University and CREATES)

We consider the fractional cointegrated vector autoregressive (CVAR) model of Johansen and Nielsen (2012a) and show that the test statistic for the ususal 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.

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Year of publication:	October 25, 2017
Authors:	Johansen, Søren ; Nielsen, Morten Ørregaard
Publisher:	Kingston, Ontario, Canada : Department of Economics, Queen's University
Subject:	cointegration \| fractional integration \| likelihood inference \| vector autoregressive model \| VAR-Modell \| VAR model \| Kointegration \| Cointegration \| Zeitreihenanalyse \| Time series analysis \| Schätztheorie \| Estimation theory