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

Author

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  • ßrregaard Nielsen, Morten
  • Morin, Lealand

Abstract

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

Suggested Citation

  • ßrregaard Nielsen, Morten & Morin, Lealand, 2014. "FCVARmodel.m: A Matlab software package for estimation and testing in the fractionally cointegrated VAR model," Queen's Economics Department Working Papers 274021, Queen's University - Department of Economics.
    • Handle: RePEc:ags:quedwp:274021
    DOI: 10.22004/ag.econ.274021
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    File URL: https://ageconsearch.umn.edu/record/274021/files/qed_wp_1273.pdf
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    Cited by:

    1. Maggie E. C. Jones & Morten Ørregaard Nielsen & Michał Ksawery Popiel, 2014. "A fractionally cointegrated VAR analysis of economic voting and political support," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 47(4), pages 1078-1130, November.
    2. Morten Ø. Nielsen & Michal Ksawery Popiel, 2018. "A Matlab Program And User's Guide For The Fractionally Cointegrated Var Model," Working Paper 1330, Economics Department, Queen's University.

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