FCVARmodel.m: A Matlab software package for estimation and testing in the fractionally cointegrated VAR model
| Year of publication: |
2014-03
|
|---|---|
| Authors: | Nielsen, Morten Ørregaard ; Morin, Lealand |
| Institutions: | Economics Department, Queen's University |
| Subject: | cofractional process | cointegration rank | computer program | fractional autoregressive model | fractional cointegration | fractional unit root | Matlab | VAR model |
| Extent: | application/pdf |
|---|---|
| Series: | |
| Type of publication: | Book / Working Paper |
| Language: | English |
| Notes: | Number 1273 35 pages |
| Classification: | C22 - Time-Series Models ; C32 - Time-Series Models |
| Source: |
Persistent link: https://www.econbiz.de/10009277001