We propose a semiparametric multivariate estimator and a multivariate score-type testing procedure under a perturbed multivariate fractional process. The estimator is based on the periodogram and uses a local Whittle criterion function which is generalised by an additional constant to capture...

This paper investigates the ability of several generalized Bayesian vector autoregressions to cope with the extreme COVID-19 observations and discusses their impact on prior calibration for inference and forecasting purposes. It shows that the preferred model interprets the pandemic episode as a...