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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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Fractional integration and cointegration
Haulde, Javier; Nielsen, Morten Ørregaard - 2021
Persistent link: https://www.econbiz.de/10012816374
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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
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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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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
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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 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/10011939456
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Fully modified narrow-band least squares estimation of stationary fractional cointegration
Nielsen, Morten Ørregaard (contributor);  … - 2008
We consider estimation of the cointegrating relation in the stationary fractional cointegration model. This model has … methodology. -- Fractional cointegration ; frequency domain ; fully modified estimation ; long memory ; semiparametric …
Persistent link: https://www.econbiz.de/10003742079
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Nonparametric cointegration analysis of fractional systems with unknown integration orders
Nielsen, Morten Ørregaard (contributor) - 2008
In this paper a nonparametric variance ratio testing approach is proposed for determining the cointegration rank in … data, the strength of the cointegrating relations, or the cointegration vector(s). The latter property makes it easier to … statistic without being reflected in the asymptotic distribution. Furthermore, a consistent estimator of the cointegration space …
Persistent link: https://www.econbiz.de/10003742085
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Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting
Christensen, Bent Jesper; Nielsen, Morten Ørregaard - In: Journal of econometrics 133 (2006) 1, pp. 343-371
Persistent link: https://www.econbiz.de/10003354581
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Nonparametric cointegration analysis of fractional systems with unknown integration orders
Nielsen, Morten Ørregaard - 2009
Persistent link: https://www.econbiz.de/10003849417