A Matlab program and user's guide for the fractionally cointegrated VAR model

This manual describes the usage of the accompanying freely available Matlab program for estimation and testing in the fractionally cointegrated vector autoregressive (FCVAR) model. This program replaces an earlier Matlab program by Nielsen and Morin (2014), and although the present Matlab program is not compatible with the earlier one, we encourage use of the new program.

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Year of publication:	2014-10
Authors:	Nielsen, Morten Ørregaard ; MichaÅ‚ Ksawery Popiel
Institutions:	Economics Department, Queen's University
Subject:	cofractional process \| cointegration rank \| computer program \| fractional autoregressive model \| fractional cointegration \| fractional unit root \| Matlab \| VAR model

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number 1330 38 pages
Classification:	C22 - Time-Series Models ; C32 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011147857