A Matlab Program And User's Guide For The Fractionally Cointegrated Var Model

Morten Nielsen and Michal Popiel

No 1330, Working Paper from Economics Department, Queen's University

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: cofractional process; cointegration rank; computer program; fractional autoregressive model; fractional cointegration; fractional unit root; Matlab; VAR model (search for similar items in EconPapers)
JEL-codes: C22 C32 (search for similar items in EconPapers)
Pages: 47 pages
Date: 2018-05
New Economics Papers: this item is included in nep-ets and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (42)

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Persistent link: https://EconPapers.repec.org/RePEc:qed:wpaper:1330

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