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FCVAR: Estimation and Inference for the Fractionally Cointegrated VAR

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 ORCID iD [aut, cre], Morten Nielsen ORCID iD [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

Documentation:

Reference manual: FCVAR.pdf

Downloads:

Package source: FCVAR_0.1.4.tar.gz
Windows binaries: r-devel: FCVAR_0.1.4.zip, r-release: FCVAR_0.1.4.zip, r-oldrel: FCVAR_0.1.4.zip
macOS binaries: r-release (arm64): FCVAR_0.1.4.tgz, r-oldrel (arm64): FCVAR_0.1.4.tgz, r-release (x86_64): FCVAR_0.1.4.tgz, r-oldrel (x86_64): FCVAR_0.1.4.tgz
Old sources: FCVAR archive

Linking:

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These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
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