Arbeitspapier
FCVARmodel.m: A matlab software package for estimation and testing in the fractionally cointegrated VAR
This manual describes the usage of the accompanying freely available software package for estimation and testing in the fractionally cointegrated vector autoregressive (VAR) model.
- Language
-
Englisch
- Bibliographic citation
-
Series: Queen's Economics Department Working Paper ; No. 1273
- Classification
-
Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- Subject
-
cofractional process
cointegration rank
fractional autoregressive model
fractional cointegration
fractional unit root
VAR model
VAR-Modell
Wissenschaftliche Methode
Software
Schätztheorie
- Event
-
Geistige Schöpfung
- (who)
-
Ørregaard Nielsen, Morten
Morin, Lealand
- Event
-
Veröffentlichung
- (who)
-
Queen's University, Department of Economics
- (where)
-
Kingston (Ontario)
- (when)
-
2011
- Handle
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Ørregaard Nielsen, Morten
- Morin, Lealand
- Queen's University, Department of Economics
Time of origin
- 2011
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