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Fractional integration and cointegration

Haulde, Javier; Nielsen, Morten Ørregaard - 2021

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

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

Directional congestion and regime switching in a long memory model for electricity prices

Haldrup, Niels (contributor); … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 10 (2006) 3, pp. 1-22

Persistent link: https://www.econbiz.de/10003559004

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 analysis of price discovery in commodity futures markets

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

-unit cointegration coefficient. Price discovery can be analyzed in the FCVAR model by a relatively straightforward examination of the …

Persistent link: https://www.econbiz.de/10010381431

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 fractionally cointegrated VAR analysis of economic voting and political support

Jones, Maggie E. C.; Nielsen, Morten Ørregaard; … - 2014

We use a fractionally cointegrated vector autoregressive model to examine the relationship between Canadian political support and macroeconomic conditions. This model is well suited for the analysis because it allows multiple fractional time series and admits simple asymptotic inference for the...

Persistent link: https://www.econbiz.de/10010364647

Numerical distribution functions of fractional unit root and cointegration tests

MacKinnon, James G.; Nielsen, Morten Ørregaard - In: Journal of applied econometrics 29 (2014) 1, pp. 161-171

Persistent link: https://www.econbiz.de/10010414227