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

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

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Year of publication:	2011
Authors:	Ørregaard Nielsen, Morten ; Morin, Lealand
Publisher:	Kingston (Ontario) : Queen's University, Department of Economics
Subject:	VAR-Modell \| Wissenschaftliche Methode \| Software \| Schätztheorie \| cofractional process \| cointegration rank \| fractional autoregressive model \| fractional cointegration \| fractional unit root \| VAR model

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Series:	Queen's Economics Department Working Paper ; 1273
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	667685308 [GVK] hdl:10419/67832 [Handle]
Classification:	C22 - Time-Series Models ; C32 - Time-Series Models
Source:	EconStor

Persistent link: https://www.econbiz.de/10010290417