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

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:	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

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 1273 35 pages
Classification:	C22 - Time-Series Models ; C32 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009277001