A Matlab Program And User's Guide For The Fractionally Cointegrated Var Model
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More about this item
Keywords
cofractional process; cointegration rank; computer program; fractional autoregressive model; fractional cointegration; fractional unit root; Matlab; VAR model;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ETS-2014-12-13 (Econometric Time Series)
- NEP-ORE-2014-12-13 (Operations Research)
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