Portal de Periódicos da CAPES

A Matlab program and user’s guide for the fractionally cointegrated VAR model

2014; Federal Reserve Bank of St. Louis; Linguagem: Inglês

10.22004/ag.econ.274656

Morten à ̃rregaard Nielsen, MichaÅC Ksawery Popiel,

Credit Risk and Financial Regulations

This manual describes the usage of the accompanying freely available Matlab program for estimation and testing in the fractionally cointegrated vector autoregressive (FCVAR) model. This program replaces an earlier Matlab program by Nielsen and Morin (2014), and although the present Matlab program is not compatible with the earlier one, we encourage use of the new program.