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Seasonal cointegration analysis for German M3 money demand

Herwartz, Helmut; Reimers, Hans-Eggert - In: Applied financial economics 13 (2003) 1, pp. 71-78

Persistent link: https://www.econbiz.de/10001754247

The cointegrated vector autoregressive model with general deterministic terms

Johansen, Søren; Nielsen, Morten Ørregaard - 2016

In the cointegrated vector autoregression (CVAR) literature, deterministic terms have until now been analyzed on a case-by-case, or as-needed basis. We give a comprehensive uni ed treatment of deterministic terms in the additive model Xt = γZt + Yt, where Zt belongs to a large class of...

Persistent link: https://www.econbiz.de/10011517008

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

The cointegrated vector autoregressive model with general deterministic terms

Johansen, Søren; Nielsen, Morten Ørregaard - 2016

In the cointegrated vector autoregression (CVAR) literature, deterministic terms have until now been analyzed on a case-by-case, or as-needed basis. We give a comprehensive unified treatment of deterministic terms in the additive model Xt = ᵧZt + Yt, where Zt belongs to a large class of...

Persistent link: https://www.econbiz.de/10011583206

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

The Cointegrated Vector Autoregressive Model with General Deterministic Terms

Johansen, Soren - 2016

In the cointegrated vector autoregression (CVAR) literature, deterministic terms have until now been analyzed on a case-by-case, or as-needed basis. We give a comprehensive unified treatment of deterministic terms in the additive model X(t)=Z(t) Y(t), where Z(t) belongs to a large class of...

Persistent link: https://www.econbiz.de/10012986230

Nonstationary Cointegration in the Fractionally Cointegrated VAR Model

Johansen, Soren - 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/10012919043

Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model

Johansen, Soren - 2010

test for cointegration rank, which is a functional of fractional Brownian motion of type II …

Persistent link: https://www.econbiz.de/10013142766

Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model

Nielsen, Morten Ørregaard - 2010

cointegration rank, which is a functional of fractional Brownian motion of type II …

Persistent link: https://www.econbiz.de/10013143144

Improved Likelihood Ratio Tests for Cointegration Rank in the VAR Model

Boswijk, H. Peter - 2012

We suggest improved tests for cointegration rank in the vector autoregressive (VAR) model and develop asymptotic … local power of the proposed tests dominates that of existing cointegration rank tests …

Persistent link: https://www.econbiz.de/10013100419