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...

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...

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...

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...

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...