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Fractional integration and cointegration

Haulde, Javier; Nielsen, Morten Ørregaard - 2021

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

Inference on the dimension of the nonstationary subspace in functional time series

Nielsen, Morten Ørregaard; Seo, Wonk-ki; Seong, Dakyung - 2022

Persistent link: https://www.econbiz.de/10012816384

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

Inference on the dimension of the nonstationary subspace in functional time series

Nielsen, Morten Ørregaard; Seo, Won-Ki; Seong, Dakyung - 2019

We propose a statistical procedure to determine the dimension of the nonstationary subspace of cointegrated functional time series taking values in the Hilbert space of square-integrable functions defined on a compact interval. The procedure is based on sequential application of a proposed test...

Persistent link: https://www.econbiz.de/10012183480

Impulse response analysis of co-integrated systems

Lütkepohl, Helmut; Reimers, Hans-Eggert - 1989

Persistent link: https://www.econbiz.de/10000769055

Numerical distribution functions of fractional unit root and cointegration tests

MacKinnon, James G.; Nielsen, Morten Ørregaard - 2010

Persistent link: https://www.econbiz.de/10008651639

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 - In: The journal of futures markets 35 (2015) 4, pp. 339-356

Persistent link: https://www.econbiz.de/10011348418

A fractionally cointegrated VAR model with deterministic trends and application to commodity futures markets

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

for the cointegration rank test are also brie y 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/10010381434

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