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

Morten ßrregaard Nielsen and Michal Popiel

No 274656, Queen's Economics Department Working Papers from Queen's University - Department of Economics

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.

Keywords: Financial Economics; Research and Development/Tech Change/Emerging Technologies (search for similar items in EconPapers)
Pages: 48
Date: 2018-05
References: Add references at CitEc
Citations: View citations in EconPapers (12)

Downloads: (external link)
https://ageconsearch.umn.edu/record/274656/files/qed_wp_1330.pdf (application/pdf)

Related works:
Working Paper: A Matlab Program And User's Guide For The Fractionally Cointegrated Var Model (2018)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ags:quedwp:274656

DOI: 10.22004/ag.econ.274656

Access Statistics for this paper

More papers in Queen's Economics Department Working Papers from Queen's University - Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by AgEcon Search ().