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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

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

A fast fractional difference algorithm

Jensen, Andreas Noack; Nielsen, Morten Ørregaard - Economics Department, Queen's University - 2013

We provide a fast algorithm for calculating the fractional difference of a time series. In standard implementations, the calculation speed (number of arithmetic operations) is of order T^2, where T is the length of the time series. Our algorithm allows calculation speed of order T log(T). For...

Persistent link: https://www.econbiz.de/10011147848