Abstract
We consider the fractional cointegrated vector autoregressive (CVAR) model of
Johansen 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.
Johansen 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.
Original language | English |
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Journal | Journal of Time Series Analysis |
Volume | 39 |
Issue number | 6 |
Pages (from-to) | 836–849 |
ISSN | 0143-9782 |
DOIs | |
Publication status | Published - 19 Apr 2018 |
Keywords
- Faculty of Social Sciences
- Cointegration
- fractional integration
- likelihood inference
- vector autoregressive model