A Matlab program and user’s guide for the fractionally cointegrated VAR model

Morten Ørregaard Nielsen · MichaÅC Ksawery Popiel

54 citations0/0 files storedRePEc: Research Papers in Economics

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Monetary Policy and Economic Impact Financial Risk and Volatility Modeling Complex Systems and Time Series Analysis

Abstract

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.

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References

2012Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model 2008A REPRESENTATION THEORY FOR A CLASS OF VECTOR AUTOREGRESSIVE MODELS FOR FRACTIONAL PROCESSES 2012NUMERICAL DISTRIBUTION FUNCTIONS OF FRACTIONAL UNIT ROOT AND COINTEGRATION TESTS

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