A REPRESENTATION THEORY FOR A CLASS OF VECTOR AUTOREGRESSIVE MODELS FOR FRACTIONAL PROCESSES

By SÃ¸ren Johansen. Econometric Theory, 2008

247 citations recorded by the source corpus.

Subfields: Finance, Modeling and Simulation, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/f638b89a1119cc476b89a4b406f3e31b247945de

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Citations in the corpus

Exact local Whittle estimation of fractionally cointegrated systems (2012, background): “Using the lag operator Lb = (1 − (1 − L)b), Johansen (2008) introduces an alternate representation of fractionally integrated processes that is more amenable to economic interpretation.”
Representation of Cointegrated Autoregressive Processes with Application to Fractional Processes (2008, unknown): “A condition for the process to be fractional of order d and cofractional of order d − b is given in Johansen (2008).”
Likelihood inference for a nonstationary fractional autoregressive model (2010, methodology): “Indeed, the correct condition leads to the solution of an unpleasant transcendental equation, see the discussion in Johansen (2008), and thus it does not appear possible to give simple conditions for fractionality of various orders in terms of the parameters of their model.”
NUMERICAL DISTRIBUTION FUNCTIONS OF FRACTIONAL UNIT ROOT AND COINTEGRATION TESTS (2010, methodology): “…values and P values — of tests for fractional unit roots and cointegration based on the fractional vector autoregressive (FVAR) model proposed in Johansen (2008) and analyzed by ∗We are grateful to Søren Johansen for comments and discussion, to Bruce Hansen for a valuable suggestion, to…”
Risk and return: Long-run relations, fractional cointegration, and return predictability $ (2013, background): “However, following Theorem 8 of Johansen (2008b), if the conditions for inversion of the CFVARdðpÞ are satisfied and do (1)2, then Eq.”
Semiparametric inference in multivariate fractionally cointegrated systems (2010, unknown): “This definition is identical to that of Hualde (2008) and resembles that of Johansen (2008), which allows I(d) vectors to have individual components of smaller order than d.”
Multiple Local Whittle Estimation in Stationary Systems (2008, background): “MULTIPLE LOCAL WHITTLE ESTIMATION 5 will be inconsistently estimated. In [5] estimation of cointegrating subspaces in a semiparametric fractional context was studied. A recent parametric reference is [19]. We consider anarrow-bandor local Whittle estimate θˆ=(β,ˆ αˆ′)′ =(β,ˆ ˆγ, δˆ 1, δˆ 2) ′ extend”