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
Authors:	Nielsen, Morten Ørregaard ; Popiel, Michał Ksawery
Publisher:	Kingston (Ontario) : Queen's University, Department of Economics
Subject:	cofractional process \| cointegration rank \| computer program \| fractional autoregressive model \| fractional cointegration \| fractional unit root \| Matlab \| VAR model

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Series:	Queen's Economics Department Working Paper ; 1330
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	799200956 [GVK] hdl:10419/122041 [Handle]
Classification:	C22 - Time-Series Models ; C32 - Time-Series Models
Source:	EconStor

Persistent link: https://www.econbiz.de/10011380827