FCVARmodel.m: A Matlab software package for estimation and testing in the fractionally cointegrated VAR model
AbstractThis 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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Bibliographic InfoPaper provided by Queen's University, Department of Economics in its series Working Papers with number 1273.
Length: 35 pages
Date of creation: Mar 2014
Date of revision:
cofractional process; cointegration rank; computer program; fractional autoregressive model; fractional cointegration; fractional unit root; Matlab; VAR model;
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