A new result on fractional cointegration

Thu, 10/10/2019 - 12:00 / 14:00

207, Viale Romania, 32

Speaker: Soren Johansen , University of Copenhagen

Abstract:

The lecture is concerned with the CVAR model for cointe-gration of fractional processes which have individual orders of integration.It turns out that inference on these fractional orders present an interestingproblem, which is related to an equation involving the cointegrating coefficients. If the equation has only a trivial solution, we get mixed Gaussianinference for the orders of integration. We find a simple condition for thissituation expressed in terms of a graph derived from the normalized cointe-grating coefficients.