Morten Ørregaard Nielsen: Software

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Data files and Ox programs for adaptive CSS estimation

 

Stata .do file to perform bootstrap procedures for two-way clustered data

 

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