We consider truncated (or conditional) sum of squares estimation of a parametric model composed of a fractional time series and an additive generalized polynomial trend. Both the memory parameter, which characterizes the behaviour of the stochastic component of the model, and the exponent...

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...

Lobato and Robinson (1998) develop semiparametric tests for the null hypothesis that a series is weakly autocorrelated, or I(0), about a constant level, against fractionally integrated alternatives. These tests have the advantage that the user is not required to specify a parametric model for...

We consider estimation and inference in fractionally integrated time series models driven by shocks which can display conditional and unconditional heteroskedasticity of unknown form. Although the standard conditional sum-of-squares (CSS) estimator remains consistent and asymptotically normal in...

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...