Estimation and Inference for the Fractionally Cointegrated VAR
A package for estimating the Fractionally Cointegrated VAR model.
Bootstrap Likelihood Ratio Test
Distribution of LR Test Statistic for the Rank Test
Estimate FCVAR model
Forecasts with the FCVAR Model
Test of Restrictions on FCVAR Model
Select Lag Order
Grid Search to Maximize Likelihood Function
Set Estimation Options
Test for Cointegrating Rank
Draw Samples from the FCVAR Model
Draw Bootstrap Samples from the FCVAR Model
Fast Fractional Differencing
Roots of the Characteristic Polynomial
Multivariate White Noise Tests
Plot the Likelihood Function for the FCVAR Model
Plot Roots of the Characteristic Polynomial
Summarize Statistics from Lag Order Selection
Summarize Estimation Results from the FCVAR model
Summarize Results of Tests for Cointegrating Rank
Print Summary of Roots of the Characteristic Polynomial
Summarize Statistics for Multivariate White Noise Tests
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>.