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

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Author Info

  • Morten Ørregaard Nielsen

    ()
    (Queen's University and CREATES)

  • Lealand Morin

    ()
    (Queen's University)

Abstract

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

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File URL: http://qed.econ.queensu.ca/working_papers/papers/qed_wp_1273.pdf
File Function: First version 2014
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Bibliographic Info

Paper provided by Queen's University, Department of Economics in its series Working Papers with number 1273.

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Length: 35 pages
Date of creation: Mar 2014
Date of revision:
Handle: RePEc:qed:wpaper:1273

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Related research

Keywords: cofractional process; cointegration rank; computer program; fractional autoregressive model; fractional cointegration; fractional unit root; Matlab; VAR model;

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Cited by:
  1. Daniela Osterrieder, 2013. "Interest Rates with Long Memory: A Generalized Affine Term-Structure Model," CREATES Research Papers 2013-17, School of Economics and Management, University of Aarhus.
  2. Maggie E. C. Jones & Morten Ørregaard Nielsen & Michael Ksawery Popiel, 2014. "A fractionally cointegrated VAR analysis of economic voting and political support," CREATES Research Papers 2014-23, School of Economics and Management, University of Aarhus.

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