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FCVAR  

Estimation and Inference for the Fractionally Cointegrated VAR
View on CRAN: Click here


Download and install FCVAR package within the R console
Install from CRAN:
install.packages("FCVAR")

Install from Github:
library("remotes")
install_github("cran/FCVAR")

Install by package version:
library("remotes")
install_version("FCVAR", "0.1.4")



Attach the package and use:
library("FCVAR")
Maintained by
Lealand Morin
[Scholar Profile | Author Map]
First Published: 2021-08-05
Latest Update: 2022-05-05
Description:
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 .
How to cite:
Lealand Morin (2021). FCVAR: Estimation and Inference for the Fractionally Cointegrated VAR. R package version 0.1.4, https://cran.r-project.org/web/packages/FCVAR. Accessed 29 Mar. 2025.
Previous versions and publish date:
0.1.0 (2021-08-05 11:20), 0.1.1 (2021-08-09 15:40), 0.1.2 (2022-03-10 20:40)
Other packages that cited FCVAR R package
View FCVAR citation profile
Other R packages that FCVAR depends, imports, suggests or enhances
Complete documentation for FCVAR
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