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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 program is not compatible with the earlier one, we encourage use of the new program. …
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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A Matlab program and user's guide for the fractionally cointegrated VAR model
Nielsen, Morten Ørregaard; MichaÅ‚ Ksawery Popiel - Economics Department, Queen's University - 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 program is not compatible with the earlier one, we encourage use of the new program. …
Persistent link: https://www.econbiz.de/10011147857
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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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Numerical distribution functions of fractional unit root and cointegration tests
MacKinnon, James G.; Nielsen, Morten Ørregaard - 2010
Persistent link: https://www.econbiz.de/10008651639
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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/10010290339
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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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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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Improved likelihood ratio tests for cointegration rank in the VAR model
Boswijk, Herman Peter; Jansson, Michael; Nielsen, … - 2012
Persistent link: https://www.econbiz.de/10010191001