Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/188906
Authors: 
Johansen, Søren
Nielsen, Morten Ørregaard
Year of Publication: 
2017
Series/Report no.: 
Queen's Economics Department Working Paper 1394
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.
Subjects: 
cointegration
fractional integration
likelihood inference
vector autoregressive model
JEL: 
C32
Document Type: 
Working Paper
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