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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

Forecasting daily political opinion polls using the fractionally cointegrated VAR model

Nielsen, Morten Ørregaard; Shibaev, Sergei S. - 2015

We examine forecasting performance of the recent fractionally cointegrated vector autoregressive (FCVAR) model. The model is applied to daily polling data of political support in the United Kingdom for 2010 - 2015. We compare with popular competing models and at various forecast horizons. Our...

Persistent link: https://www.econbiz.de/10011279787

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

A fractionally cointegrated VAR analysis of economic voting and political support

Jones, Maggie E. C.; Nielsen, Morten Ørregaard; … - 2014

We use a fractionally cointegrated vector autoregressive model to examine the relationship between Canadian political support and macroeconomic conditions. This model is well suited for the analysis because it allows multiple fractional time series and admits simple asymptotic inference for the...

Persistent link: https://www.econbiz.de/10010364647

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