FCVAR: 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>.

Getting started

Package details

AuthorLealand Morin [aut, cre] (<https://orcid.org/0000-0001-8539-1386>), Morten Nielsen [aut] (<https://orcid.org/0000-0002-1337-9844>), Michal Popiel [aut]
MaintainerLealand Morin <lealand.morin@ucf.edu>
URL https://github.com/LeeMorinUCF/FCVAR
Package repositoryView on CRAN
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FCVAR documentation built on May 5, 2022, 9:06 a.m.