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Fractional integration and cointegration

Haulde, Javier; Nielsen, Morten Ørregaard - 2021

Persistent link: https://www.econbiz.de/10012816374

Testing the CVAR in the fractional CVAR model

Johansen, Søren; Nielsen, Morten Ørregaard - 2017

We consider the fractional cointegrated vector autoregressive (CVAR) model of Johansen and Nielsen (2012a) and show that the test statistic for the ususal CVAR model is asymptotically chi-squared distributed. Because the usual CVAR model lies on the boundary of the parameter space for the...

Persistent link: https://www.econbiz.de/10011756080

Testing the CVAR in the fractional CVAR model

Johansen, Søren; Nielsen, Morten Ørregaard - 2017

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...

Persistent link: https://www.econbiz.de/10011939445

Nonstationary cointegration in the fractionally cointegrated VAR model

Johansen, Søren; Nielsen, Morten Ørregaard - 2018

We consider the fractional cointegrated vector autoregressive (CVAR) model of Johansen and Nielsen (2012a) and make two distinct contributions. First, in their consistency proof, Johansen and Nielsen (2012a) imposed moment conditions on the errors that depend on the parameter space, such that...

Persistent link: https://www.econbiz.de/10011939456

A vector autoregressive model for electricity prices subject to long memory and regime switching

Haldrup, Niels; Nielsen, Frank S.; Nielsen, Morten … - 2009

regime states as well as the possibility of fractional cointegration. The model is motivated by the dynamics of electricity …

Persistent link: https://www.econbiz.de/10010290397

A fractionally cointegrated VAR analysis of price discovery in commodity futures markets

Dolatabadi, Sepideh; Nielsen, Morten Ørregaard; Xu, Ke - 2014

-unit cointegration coefficient. Price discovery can be analyzed in the FCVAR model by a relatively straightforward examination of the …

Persistent link: https://www.econbiz.de/10010381431

Economic significance of commodity return forecasts from the fractionally cointegrated VAR model

Dolatabadi, Sepideh; Narayan, Paresh Kumar; Nielsen, … - 2015

Based on recent evidence of fractional cointegration in commodity spot and futures markets, we investigate whether a …

Persistent link: https://www.econbiz.de/10010464770

A fractionally cointegrated VAR analysis of price discovery in commodity futures markets

Dolatabadi, Sepideh; Nielsen, Morten Ørregaard; Xu, Ke - 2014

Persistent link: https://www.econbiz.de/10010394599

Nonstationary cointegration in the fractionally cointegrated VAR model

Johansen, Søren; Nielsen, Morten Ørregaard - 2018

We consider the fractional cointegrated vector autoregressive (CVAR) model of Johansen and Nielsen (2012a) and make two distinct contributions. First, in their con- sistency proof, Johansen and Nielsen (2012a) imposed moment conditions on the errors that depend on the parameter space, such that...

Persistent link: https://www.econbiz.de/10011845794

A Fractionally Cointegrated VAR Model with Deterministic Trends and Application to Commodity Futures Markets

Dolatabadi, Sepideh - 2017

for the cointegration rank test are also briefly discussed. In our empirical application we use the data from Figuerola … conclusion from the empirical analysis is that, when using the FCVAR model, there is more support for the cointegration vector (1 …-run backwardation, compared to the results from the non-fractional model. Specifically, we reject the hypothesis that the cointegration …

Persistent link: https://www.econbiz.de/10012946780