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

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References

2012Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model308 cited
2008A REPRESENTATION THEORY FOR A CLASS OF VECTOR AUTOREGRESSIVE MODELS FOR FRACTIONAL PROCESSES249 cited
2012NUMERICAL DISTRIBUTION FUNCTIONS OF FRACTIONAL UNIT ROOT AND COINTEGRATION TESTS66 cited

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2020Value at risk and returns of cryptocurrencies before and after the crash: long-run relations and fractional cointegration26 cited
2021The impact of RMB’s SDR inclusion on price discovery in onshore-offshore markets25 cited
2017On the Identification of Fractionally Cointegrated VAR Models With theF(d)Condition23 cited
2019Presidential Approval in Peru: An Empirical Analysis Using a Fractionally Cointegrated VAR22 cited
2023Term premium in a fractionally cointegrated yield curve22 cited
2016Business cycles in the economy and in economics: an econometric analysis16 cited

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2014FCVARmodel.m: A Matlab software package for estimation and testing in the fractionally cointegrated VAR model15 cited