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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 … suggested model is shown to deliver forecasts that are more precise compared to competing models. -- Cointegration ; electricity …

Persistent link: https://www.econbiz.de/10003872445

Likelihood inference for a fractionally cointegrated vector autoregressive model

Johansen, Søren; Nielsen, Morten Ørregaard - 2010

test for cointegration rank, which is a functional of fractional Brownian motion of type II. -- Cofractional processes … ; cointegration rank ; fractional cointegration ; likelihood inferencw ; vector autoregressive model …

Persistent link: https://www.econbiz.de/10003981839

Improved likelihood ratio tests for cointegration rank in the VAR model

Boswijk, Herman Peter; Jansson, Michael; Nielsen, … - 2012

We suggest improved tests for cointegration rank in the vector au- toregressive (VAR) model and develop asymptotic … local power of the proposed tests dominates that of existing cointegration rank tests. -- Cointegration rank ; efficiency …

Persistent link: https://www.econbiz.de/10009621711

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

A Matlab program and user's guide for the fractionally cointegrated VAR model

Nielsen, Morten Ørregaard; Popiel, Michal Ksawery - 2014

This manual describes the usage of the accompanying freely available Matlab program for estimation and testing in the fractionally cointegrated vector autoregressive (FCVAR) model. This program replaces an earlier Matlab program by Nielsen and Morin (2014), and although the present Matlab...

Persistent link: https://www.econbiz.de/10010418272

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