working papers
Fractionality and cofractionality between Government Bond yields
In a cofractional 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 cofractional system,
though usually one formulation is preferred. This paper has the following contributions: (i) it
discusses different kinds of identification problems in cofractional 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 cofractional 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 cofractional relationship). 
Testing for cononlinearity (2012)
This article introduces the concept of cononlinearity. Cononlinearity 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 nonlinear process but there exists a linear relationship between the levels of these series that removes the nonlinearity, then this relationship is said to be a cononlinear relationship. In this article I show how to determine the number of such cononlinear relationships. Furthermore, I show how to formulate hypothesis tests on the cononlinear relationships in a full maximum likelihood framework.

Fundamental Determinants of the long run Real Exchange Rate: The case of Norway (2002)
Discussion Paper No 326, Statistics Norway. (Joint paper with Hilde C. Bjørnland) http://www.ssb.no/publikasjoner/pdf/dp326.pdf 
Private Investments in Norway and the User Cost of Capital (2002)
Documents 2002/13, Statistics Norway. http://www.ssb.no/english/subjects/09/90/doc_200213_en/doc_200213_en.pdf 
Causality in Macroeconomics  Identifying Causal Relationships from Policy Instruments to Target Variables (2002)
Documents 2002/14, Statistics Norway. http://www.ssb.no/english/subjects/00/90/doc_200214_en/doc_200214_en.pdf 
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