Estimation and Inference for the Fractionally Cointegrated VAR

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Documentation for package ‘FCVAR’ version 0.1.4

• DESCRIPTION file.
• Code demos. Use demo() to run them.
• Package NEWS.

Help Pages

FCVAR	A package for estimating the Fractionally Cointegrated VAR model.
FCVARboot	Bootstrap Likelihood Ratio Test
FCVARbootRank	Distribution of LR Test Statistic for the Rank Test
FCVARestn	Estimate FCVAR model
FCVARforecast	Forecasts with the FCVAR Model
FCVARhypoTest	Test of Restrictions on FCVAR Model
FCVARlagSelect	Select Lag Order
FCVARlikeGrid	Grid Search to Maximize Likelihood Function
FCVARoptions	Set Estimation Options
FCVARrankTests	Test for Cointegrating Rank
FCVARsim	Draw Samples from the FCVAR Model
FCVARsimBS	Draw Bootstrap Samples from the FCVAR Model
FracDiff	Fast Fractional Differencing
GetCharPolyRoots	Roots of the Characteristic Polynomial
MVWNtest	Multivariate White Noise Tests
plot.FCVAR_grid	Plot the Likelihood Function for the FCVAR Model
plot.FCVAR_roots	Plot Roots of the Characteristic Polynomial
summary.FCVAR_lags	Summarize Statistics from Lag Order Selection
summary.FCVAR_model	Summarize Estimation Results from the FCVAR model
summary.FCVAR_ranks	Summarize Results of Tests for Cointegrating Rank
summary.FCVAR_roots	Print Summary of Roots of the Characteristic Polynomial
summary.MVWN_stats	Summarize Statistics for Multivariate White Noise Tests
votingJNP2014	Aggregate support for Canadian political parties.