This manual describes the usage of the accompanying freely available software package for estimation and testing in the fractionally cointegrated vector autoregressive (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. -- cofractional process ; cointegration rank ; fractional autoregressive model ; fractional cointegration ;...

This manual describes the usage of the accompanying freely available software package for estimation and testing in the fractionally cointegrated vector autoregressive (VAR) model.

We consider the problem of testing for unit root in time series where the error term of the series is near unit root. As the error term approaches unit root, existing tests no longer retain reasonable small sample properties. We introduce a test statistic that is well-behaved in small sample...