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Fcvarmodel.m: A Matlab Software Package For Estimation And Testing In The Fractionally Cointegrated Var Model

Author

Listed:
  • Morten Ø. 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 Ø. Nielsen & Lealand Morin, 2014. "Fcvarmodel.m: A Matlab Software Package For Estimation And Testing In The Fractionally Cointegrated Var Model," Working Paper 1273, Economics Department, Queen's University.
    • Handle: RePEc:qed:wpaper:1273
    as

    Download full text from publisher

    File URL: https://www.econ.queensu.ca/sites/econ.queensu.ca/files/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.
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    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. repec:eee:ecolet:v:167:y:2018:i:c:p:18-25 is not listed on IDEAS
    6. 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.
    7. 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; Matlab; fractional unit root; 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

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