IDEAS home Printed from https://ideas.repec.org/p/qed/wpaper/1273.html
   My bibliography  Save this paper

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

Author

Listed:
  • 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.

Suggested Citation

  • Morten Ørregaard Nielsen & Lealand Morin, 2014. "FCVARmodel.m: A Matlab software package for estimation and testing in the fractionally cointegrated VAR model," Working Papers 1273, Queen's University, Department of Economics.
  • Handle: RePEc:qed:wpaper:1273
    as

    Download full text from publisher

    File URL: http://qed.econ.queensu.ca/working_papers/papers/qed_wp_1273.pdf
    File Function: First version 2014
    Download Restriction: no

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Maggie E. C. Jones & Morten Ørregaard Nielsen & Micha Ksawery Popiel, 2014. "A fractionally cointegrated VAR analysis of economic voting and political support," Canadian Journal of Economics, Canadian Economics Association, vol. 47(4), pages 1078-1130, November.
    2. Daniela Osterrieder, 2013. "Interest Rates with Long Memory: A Generalized Affine Term-Structure Model," CREATES Research Papers 2013-17, Department of Economics and Business Economics, Aarhus University.
    3. Sepideh Dolatabadi & Morten Ørregaard Nielsen & Ke Xu, 2015. "A Fractionally Cointegrated VAR Analysis of Price Discovery in Commodity Futures Markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 35(4), pages 339-356, April.
    4. Daniela Osterrieder & Daniel Ventosa-Santaulària & J. Eduardo Vera-Valdés, 2015. "Unbalanced Regressions and the Predictive Equation," CREATES Research Papers 2015-09, Department of Economics and Business Economics, Aarhus University.
    5. Morten Ørregaard Nielsen & Michał Ksawery Popiel, 2016. "A Matlab program and user's guide for the fractionally cointegrated VAR model," Working Papers 1330, Queen's University, Department of Economics.
    6. Gil-Alana, Luis A. & Mudida, Robert & Carcel, Hector, 2017. "Shocks affecting electricity prices in Kenya, a fractional integration study," Energy, Elsevier, vol. 124(C), pages 521-530.

    More about this item

    Keywords

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

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:qed:wpaper:1273. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Mark Babcock). General contact details of provider: http://edirc.repec.org/data/qedquca.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.