A Matlab Program And User's Guide For The Fractionally Cointegrated Var Model

QED Working Paper Number
1330

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.

Author(s)

Morten Ørregaard Nielsen
Michal Ksawery Popiel

JEL Codes

C22
C32

Keywords

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

Working Paper

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