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Fractionally Integrated VAR Models with a Fractional Lag Operator and Deterministic Trends: Finite Sample Identification and Two-step Estimation

URN to cite this document:
urn:nbn:de:bvb:355-epub-272697
Tschernig, Rolf ; Weber, Enzo ; Weigand, Roland
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Date of publication of this fulltext: 15 Jan 2013 09:53


Abstract

Fractionally integrated vector autoregressive models allow to capture persistence in time series data in a very flexible way. Additional flexibility for the short memory properties of the model can be attained by using the fractional lag perator of Johansen (2008) in the vector autoregressive polynomial. However, it also makes maximum likelihood estimation more diffcult. In this paper we first ...

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