Title: A cointegrated model allowing for different fractional orders
Authors: Morten Nielsen - Queen's University (Canada) [presenting]
Soren Johansen - University of Copenhagen (Denmark)
Abstract: Earlier work on the FCVAR model is generalized to allow each observed variable to have its own fractional integration order. We discuss cointegration, representation, and statistical inference in the model, and derive the relevant asymptotic theory. In particular, the asymptotic distribution of (linear combinations of) the maximum likelihood estimators of the fractional orders can be superconsistent and mixed Gaussian depending on the connectedness of the graph of the identified beta vectors. In other cases, the estimators of the fractional orders are Gaussian. The remaining estimators and test statistics retain their asymptotic properties from the more standard FCVAR model.