An R Package for the Fractionally Cointegrated VAR Model
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
See the file
FCVAR_README.pdf for examples
and the Webpage https://sites.google.com/view/mortennielsen/software
for more information about the FCVAR model.
Install the latest release using the
Alternatively, you can install the development version on
GitHub using the
However, the version on CRAN is recommended because that version is tested and vetted for submission to CRAN.
\donttestfor examples with run time than took longer than 5s.
par()settings, because it creates a figure with thinner margins, inserted command
on.exit(par(oldpar))to restore user's settings, immediately after the change to
\dontrunif run time took longer than 5s.
NEWS.mdfile to track changes to the package.
There were no ERRORs or WARNINGs.
There were three NOTEs:
Authors' names, conjugations of the verb "cointegrate," the verb "difference," and the acronym "FCVAR" are not mis-spelled.
Elapsed time > 10s for some examples.
There are currently no downstream dependencies for this package.
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