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Numerical distribution functions of fractional unit root and cointegration tests
MacKinnon, James G.; Nielsen, Morten Ørregaard - In: Journal of applied econometrics 29 (2014) 1, pp. 161-171
Persistent link: https://www.econbiz.de/10010414227
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Numerical distribution functions of fractional unit root and cointegration tests
MacKinnon, James G.; Nielsen, Morten Ørregaard - 2010
cointegration rank. Because these distributions depend on a real-valued parameter, b, which must be estimated, simple tabulation is …
Persistent link: https://www.econbiz.de/10003996897
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A Matlab program and user's guide for the fractionally cointegrated VAR model
Nielsen, Morten Ørregaard; Popiel, Michal Ksawery - 2014
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...
Persistent link: https://www.econbiz.de/10010418272
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Numerical distribution functions of fractional unit root and cointegration tests
MacKinnon, James G.; Nielsen, Morten Ørregaard - 2010
cointegration rank. Because these distributions depend on a real-valued parameter, b, which must be estimated, simple tabulation is …
Persistent link: https://www.econbiz.de/10010290339
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Numerical distribution functions of fractional unit root and cointegration tests
MacKinnon, James G.; Nielsen, Morten Ørregaard - School of Economics and Management, University of Aarhus - 2010
cointegration rank. Because these distributions depend on a real-valued parameter, b, which must be estimated, simple tabulation is …
Persistent link: https://www.econbiz.de/10008549067
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FCVARmodel.m: A matlab software package for estimation and testing in the fractionally cointegrated VAR
Ørregaard Nielsen, Morten; Morin, Lealand - 2011
This manual describes the usage of the accompanying freely available software package for estimation and testing in the fractionally cointegrated vector autoregressive (VAR) model.
Persistent link: https://www.econbiz.de/10010290417
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Testing for fractional cointegration in subsamples by allowing for structural breaks
Kreye, Tom Jannik - 2024
In this paper, tests for fractional cointegration that allow for structural breaks in the long-run equilibrium are … proposed. Traditional cointegration tests cannot handle shifts in fractional cointegration relationships, a limitation … addressed here by allowing for a time-dependent memory parameter for the cointegration error. The tests are implemented by …
Persistent link: https://www.econbiz.de/10015175368
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A Matlab program and user's guide for the fractionally cointegrated VAR model
Nielsen, Morten Ørregaard; Popiel, Michał Ksawery - 2014
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...
Persistent link: https://www.econbiz.de/10011380827
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FCVARmodel.m: A Matlab software package for estimation and testing in the fractionally cointegrated VAR model
Nielsen, Morten Ørregaard; Morin, Lealand - Economics Department, Queen's University - 2014
This manual describes the usage of the accompanying freely available software package for estimation and testing in the fractionally cointegrated vector autoregressive (VAR) model.
Persistent link: https://www.econbiz.de/10009277001
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Numerical distribution functions of fractional unit root and cointegration tests
MacKinnon, James G.; Nielsen, Morten Ørregaard - Economics Department, Queen's University - 2012
roots and cointegration rank. Because these distributions depend on a real-valued parameter b which must be estimated …
Persistent link: https://www.econbiz.de/10008492935