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>.
|Author||Lealand Morin [aut, cre] (<https://orcid.org/0000-0001-8539-1386>), Morten Nielsen [aut] (<https://orcid.org/0000-0002-1337-9844>), Michal Popiel [aut]|
|Maintainer||Lealand Morin <email@example.com>|
|Package repository||View on CRAN|
Install the latest version of this package by entering the following in R:
Any scripts or data that you put into this service are public.
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.