FCVAR: Estimation and Inference for the Fractionally Cointegrated VAR (original) (raw)
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>.
| Version: | 0.1.4 |
|---|---|
| Depends: | R (≥ 3.5) |
| Imports: | pracma, fracdist |
| Suggests: | knitr, rmarkdown, testthat |
| Published: | 2022-05-05 |
| DOI: | 10.32614/CRAN.package.FCVAR |
| Author: | Lealand Morin  [aut, cre], Morten Nielsen [aut], Michal Popiel [aut] |
| Maintainer: | Lealand Morin <lealand.morin at ucf.edu> |
| BugReports: | https://github.com/LeeMorinUCF/FCVAR/issues |
| License: | GPL-3 |
| URL: | https://github.com/LeeMorinUCF/FCVAR |
| NeedsCompilation: | no |
| Language: | en-US |
| Citation: | FCVAR citation info |
| Materials: | README NEWS |
| In views: | TimeSeries |
| CRAN checks: | FCVAR results |
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