FCVARmodel.m: A Matlab software package for estimation and testing in the fractionally cointegrated VAR model

ÃŸrregaard Nielsen, Morten; Morin, Lealand

doi:10.22004/ag.econ.274021

FCVARmodel.m: A Matlab software package for estimation and testing in the fractionally cointegrated VAR model

ÃŸrregaard Nielsen, Morten; Morin, Lealand

2014

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Abstract

This manual describes the usage of the accompanying freely available software pack- age for estimation and testing in the fractionally cointegrated vector autoregressive (VAR) model.

Details

Title

FCVARmodel.m: A Matlab software package for estimation and testing in the fractionally cointegrated VAR model

Keywords

cofractional process; cointegration rank; computer program; fractional autoregressive model; fractional co integration; fractional unit root; Matlab; VAR model

Author(s)

ÃŸrregaard Nielsen, Morten
Morin, Lealand

Subject(s)

Financial Economics
Institutional and Behavioral Economics

Issue Date

2014-03

Publication Type

Working or Discussion Paper

Digital Object Identifier

https://doi.org/10.22004/ag.econ.274021

Record Identifier

https://ageconsearch.umn.edu/record/274021

Language

English

Total Pages

36

JEL Codes

C22
C32

Series Statement

Working Paper No. 1273

Record Appears in

Queen's University - Department of Economics > Queen's Economics Department Working Papers

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