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On the identification of fractionally cointegrated VAR models with the F(d) condition
Magistris, Paolo Santucci de; Carlini, Federico - School of Economics and Management, University of Aarhus - 2014
This paper discusses identification problems in the fractionally cointegrated system of Johansen (2008) and Johansen and Nielsen (2012). It is shown that several equivalent re-parameterizations of the model associated with different fractional integration and cointegration parameters may exist...
Persistent link: https://www.econbiz.de/10011019688
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On an Estimation Method for an Alternative Fractionally Cointegrated Model
Carlini, Federico; Lasak, Katarzyna - Tinbergen Instituut - 2014
In this paper we consider the Fractional Vector Error Correction model proposed in Avarucci (2007), which is characterized by a richer lag structure than models proposed in Granger (1986) and Johansen (2008, 2009). We discuss the identification issues of the model of Avarucci (2007), following...
Persistent link: https://www.econbiz.de/10011256187
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On the identification of fractionally cointegrated VAR models with the F(d) condition
Carlini, Federico; Magistris, Paolo Santucci de - School of Economics and Management, University of Aarhus - 2013
This paper discusses identification problems in the fractionally cointegrated system of Johansen (2008) and Johansen and Nielsen (2012). The identification problem arises when the lag structure is over-specified, such that there exist several equivalent reparametrization of the model associated...
Persistent link: https://www.econbiz.de/10010851238
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On an Estimation Method for an Alternative Fractionally Cointegrated Model
Carlini, Federico; Lasak, Katarzyna - School of Economics and Management, University of Aarhus - 2014
In this paper we consider the Fractional Vector Error Correction model proposed in Avarucci (2007), which is characterized by a richer lag structure than models proposed in Granger (1986) and Johansen (2008, 2009). We discuss the identification issues of the model of Avarucci (2007), following...
Persistent link: https://www.econbiz.de/10010851285
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On an Estimation Method for an Alternative Fractionally Cointegrated Model
Carlini, Federico; Lasak, Katarzyna - 2014
In this paper we consider the Fractional Vector Error Correction model proposed in Avarucci (2007), which is characterized by a richer lag structure than models proposed in Granger (1986) and Johansen (2008, 2009). We discuss the identification issues of the model of Avarucci (2007), following...
Persistent link: https://www.econbiz.de/10010377231
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Likelihood based inference for an Identifiable Fractional Vector Error Correction Model
Carlini, Federico; Lasak, Katarzyna - 2018
We consider the Fractional Vector Error Correction model proposed in Avarucci (2007), which is characterized by a richer lag structure than the models proposed in Granger (1986) and Johansen (2008, 2009). In particular, we discuss the properties of the model of Avarucci (2007) (FECM) in...
Persistent link: https://www.econbiz.de/10011932356
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Likelihood based inference for an identifiable fractional vector error correction model
Carlini, Federico; Łasak, Katarzyna - 2018
We consider the Fractional Vector Error Correction model proposed in Avarucci (2007), which is characterized by a richer lag structure than the models proposed in Granger (1986) and Johansen (2008, 2009). In particular, we discuss the properties of the model of Avarucci (2007) (FECM) in...
Persistent link: https://www.econbiz.de/10011928312