Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/122041
Authors: 
Nielsen, Morten Ørregaard
Popiel, Michał Ksawery
Year of Publication: 
2014
Series/Report no.: 
Queen's Economics Department Working Paper 1330
Abstract: 
This manual describes the usage of the accompanying freely available Matlab program for estimation and testing in the fractionally cointegrated vector autoregressive (FCVAR) model. This program replaces an earlier Matlab program by Nielsen and Morin (2014), and although the present Matlab program is not compatible with the earlier one, we encourage use of the new program.
Subjects: 
cofractional process
cointegration rank
computer program
fractional autoregressive model
fractional cointegration
fractional unit root
Matlab
VAR model
JEL: 
C22
C32
Document Type: 
Working Paper

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