Morten Ørregaard Nielsen: Software

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Matlab program for estimation and testing in the fractionally cointegrated VAR model


Computer programs (Matlab) and data for replication of forecasting results in Nielsen and Shibaev (2016).


Computer programs for the fast fractional difference algorithm (Matlab, Ox, and R)


Computer program to calculate critical values and P values for fractional unit root and cointegration tests


Matlab program for nearly efficient likelihood ratio tests of the unit root hypothesis


Ox programs to calculate NBLS, FMNBLS, and other narrow-band least squares estimators


Ox program to calculate nonparametric fractional cointegration rank tests


Matlab program to implement exact local Whittle cointegration rank determination procedure