FCVARmodel.m: A Matlab software package for estimation and testing in the fractionally cointegrated VAR model
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Cited by:
- 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.
- Maggie E.C. Jones & Morten Ørregaard Nielsen & Michal Ksawery Popiel, 2014. "A fractionally cointegrated VAR analysis of economic voting and political support," Working Papers 1326, Queen's University, Department of Economics.
- 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, Department of Economics and Business Economics, Aarhus University.
- 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.
- 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.
- Sepideh Dolatabadi & Morten Ørregaard Nielsen & Ke Xu, 2014. "A fractionally cointegrated VAR analysis of price discovery in commodity futures markets," Working Papers 1328, Queen's University, Department of Economics.
- Sepideh Dolatabadi & Morten Ørregaard Nielsen & Ke Xu, 2014. "A fractionally cointegrated VAR analysis of price discovery in commodity futures markets," CREATES Research Papers 2014-24, Department of Economics and Business Economics, Aarhus University.
- 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.
- 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.
- 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.
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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:- NEP-ALL-2011-09-05 (All new papers)
- NEP-ETS-2011-09-05 (Econometric Time Series)
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