Testing the CVAR in the Fractional CVAR Model

Autor:	Morten Ørregaard Nielsen, Søren Johansen
Rok vydání:	2018
Předmět:	Statistics and Probability Cointegration CVAR Applied Mathematics 05 social sciences Boundary (topology) Parameter space 01 natural sciences Statistics::Computation 010104 statistics & probability Autoregressive model Likelihood-ratio test 0502 economics and business Applied mathematics 0101 mathematics Statistics Probability and Uncertainty Statistic 050205 econometrics Mathematics
Zdroj:	Journal of Time Series Analysis. 39:836-849
ISSN:	0143-9782
DOI:	10.1111/jtsa.12300
Popis:	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.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::6ea4f96e404944c5c2f8fddafcfc0197 https://doi.org/10.1111/jtsa.12300 Zobrazit plný text záznamu Plný text ve formátu PDF Plný text ve formátu HTML
Nepřihlášeným uživatelům se plný text nezobrazuje	K zobrazení výsledku je třeba se přihlásit.