Estimation and Inference for the Fractionally Cointegrated VAR

Estimation and inference using the Fractionally Cointegrated Vector Autoregressive (VAR) model. It includes functions for model specification, including lag selection and cointegration rank selection, as well as a comprehensive set of options for hypothesis testing, including tests of hypotheses on the cointegrating relations, the adjustment coefficients and the fractional differencing parameters. An article describing the FCVAR model with examples is available on the Webpage <>.


Reference manual

It appears you don't have a PDF plugin for this browser. You can click here to download the reference manual.


0.1.1 by Lealand Morin, 6 months ago

Report a bug at

Browse source code at

Authors: Lealand Morin [aut, cre] , Morten Nielsen [aut] , Michal Popiel [aut]

Documentation:   PDF Manual  

GPL-3 license

Imports pracma, fracdist

Suggests knitr, rmarkdown, testthat

See at CRAN