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 < https://sites.google.com/view/mortennielsen/software>.


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Reference manual

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install.packages("FCVAR")

0.1.1 by Lealand Morin, 2 months ago


https://github.com/LeeMorinUCF/FCVAR


Report a bug at https://github.com/LeeMorinUCF/FCVAR/issues


Browse source code at https://github.com/cran/FCVAR


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