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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
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A conversation with Søren Johansen
Johansen, Søren (interviewee); Mosconi, Rocco (interviewer) - In: Econometrics : open access journal 10 (2022) 2, pp. 1-16
fractional cointegration types; survival analysis; statistical modelling; likelihood; econometric methodology; the teaching and …
Persistent link: https://www.econbiz.de/10013355167
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A note on testing restrictions for the cointegration parameters of a VAR with I (2) variables
Johansen, Søren; Lütkepohl, Helmut - In: Econometric theory 21 (2005) 3, pp. 653-658
Persistent link: https://www.econbiz.de/10002794790
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Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models
Johansen, Søren; Swensen, Anders Rygh - 2021
Persistent link: https://www.econbiz.de/10012620761
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Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models
Johansen, Søren; Swensen, Anders Rygh - 2021
Persistent link: https://www.econbiz.de/10012627501
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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
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Cointegration between trends and their estimators in state space models and cointegrated vector autoregressive models
Johansen, Søren; Tabor, Morten Nyboe - In: Econometrics : open access journal 5 (2017) 3, pp. 1-46
, it is shown that there is cointegration between the identified trend and its estimator, if and only if the estimators of …
Persistent link: https://www.econbiz.de/10011711088
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Optimal hedging with the Vector Autoregressive model
Gatarek, Lukasz; Johansen, Søren - 2014
with general cointegration rank. Our hedge is optimal in the sense of minimum variance portfolio. We consider a model that … correlation and cointegration parameters. For short holding periods the correlation impact is predominant. For long horizons, the … hedge ratio should overweight the cointegration parameters rather then short-run correlation information. In the innite …
Persistent link: https://www.econbiz.de/10010244526
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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
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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