We show that the asymptotic distribution of the estimated stationary roots in a vector autoregressive model is Gaussian. A simple expression for the asymptotic variance in terms of the roots and the eigenvectors of the companion matrix is derived. The results are extended to the cointegrated...

type="main" xml:id="jtsa12074-abs-0001" <title type="main">Abstract</title> <p>We provide a fast algorithm for calculating the fractional difference of a time series. In standard implementations, the calculation speed (number of arithmetic operations) is of order T-super-2, where T is the length of the time series. Our...</p>

type="main" xml:id="jtsa12100-abs-0001"This article proves consistency and asymptotic normality for the conditional-sum-of-squares estimator, which is equivalent to the conditional maximum likelihood estimator, in multivariate fractional time-series models. The model is parametric and quite...