working papers

Fractionality and co-fractionality between Government Bond yields

posted Aug 5, 2016, 4:18 AM by Håvard Hungnes

In a co-fractional vector autoregressive (VAR) model two more parameters are estimated, compared to the traditional cointegrated VAR model. The increased number of parameters that needs to be estimated leads to identification problems; there is no unique formulation of a co-fractional system, though usually one formulation is preferred. This paper has the following contributions: (i) it discusses different kinds of identification problems in co-fractional VAR models; (ii) it proposes a specification test for higher order fractional processes; (iii) it presents an Ox program that can be used for estimating and testing co-fractional systems; and (iv) it uses the above mentioned contributions to analyse a system of Government Bonds in the US and Norway where the results indicates that the level and trend in the yield curve have a longer memory than the curvature (i.e., a linear combination of the yields of the Government Bonds that corresponds to representing the curvature of the yield curve is a co-fractional relationship). 

Testing for co-non-linearity (2012)

posted Jul 12, 2012, 12:12 AM by Håvard Hungnes   [ updated Jul 12, 2012, 12:14 AM ]

This article introduces the concept of co-non-linearity. Co-non-linearity is an example of a common feature in time series (Engle and Koziciki, 1993, J. Bus. Econ. Statist.) and an extension of the concept of common nonlinear components (Anderson and Vahid, 1998, J. Econometrics). If some time series follow a non-linear process but there exists a linear relationship between the levels of these series that removes the non-linearity, then this relationship is said to be a co-non-linear relationship. In this article I show how to determine the number of such co-non-linear relationships. Furthermore, I show how to formulate hypothesis tests on the co-non-linear relationships in a full maximum likelihood framework.
 

Fundamental Determinants of the long run Real Exchange Rate: The case of Norway (2002)

posted Apr 25, 2010, 8:33 AM by Håvard Hungnes

Discussion Paper No 326, Statistics Norway. (Joint paper with Hilde C. Bjørnland)

http://www.ssb.no/publikasjoner/pdf/dp-326.pdf

Restricting Growth Rates in Cointegrated VAR Models (2002)

posted Apr 25, 2010, 8:28 AM by Håvard Hungnes

revised version of Discussion Paper No 309, Statistics Norway.

http://www.hungnes.net/DP309rev.pdf

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