FCVARmodel.m: A matlab software package for estimation and testing in the fractionally cointegrated VAR
Year of publication: |
2011
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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 |
Series: | |
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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: |
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