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A Representation Theory For A Class Of Vector Autoregressive Models For Fractional Processes

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Author Info
Johansen, S?ren

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Abstract

Based on an idea of Granger (1986, Oxford Bulletin of Economics and Statistics 48, 213 (1 so that Xt is fractional of order d d. We find a representation of the solution that demonstrates the fractional properties. Finally we suggest a model that allows for a polynomial fractional vector, that is, the process Xt is fractional of order d, Xt is fractional of order d bXt is fractional of order d 2b. The representations and conditions are analogous to the well-known conditions for I(0), I(1), and I(2) variables.

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Publisher Info
Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 24 (2008)
Issue (Month): 03 (June)
Pages: 651-676
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Handle: RePEc:cup:etheor:v:24:y:2008:i:03:p:651-676_08

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  1. Carlos Pestana Barros & João Ricardo Faria & Luis A. Gil-Alana, 2008. "Persistence in Airline Accidents," Working Papers 2008/18, Department of Economics at the School of Economics and Management (ISEG), Technical University of Lisbon.. [Downloadable!]
  2. Søren Johansen & Morten Ørregaard Nielsen, 2009. "Likelihood inference for a nonstationary fractional autoregressive model," Working Papers 1172, Queen's University, Department of Economics. [Downloadable!]
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  3. Eduardo Rossi & Paolo Santucci de Magistris, 2009. "A No Arbitrage Fractional Cointegration Analysis Of The Range Based Volatility," CREATES Research Papers 2009-31, School of Economics and Management, University of Aarhus. [Downloadable!]
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This page was last updated on 2009-11-24.

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