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  • Search: subject:"Cofractional Model"
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Cofractional Model 1 Fractional Cointegration 1 Identification 1 Lag Selection 1
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Free 1
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Book / Working Paper 1
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Undetermined 1
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Carlini, Federico 1 Magistris, Paolo Santucci de 1
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School of Economics and Management, University of Aarhus 1
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CREATES Research Papers 1
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RePEc 1
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On the identification of fractionally cointegrated VAR models with the F(d) condition
Magistris, Paolo Santucci de; Carlini, Federico - School of Economics and Management, University of Aarhus - 2014
This paper discusses identification problems in the fractionally cointegrated system of Johansen (2008) and Johansen and Nielsen (2012). It is shown that several equivalent re-parameterizations of the model associated with different fractional integration and cointegration parameters may exist...
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