fracdist

Calculate numerical asymptotic distribution functions of likelihood ratio statistics for fractional unit root tests and tests of cointegration rank. For these distributions, the included functions calculate critical values and P-values used in unit root tests, cointegration tests, and rank tests in the Fractionally Cointegrated Vector Autoregression (FCVAR) model. The functions implement procedures for tests described in the following articles: Johansen, S. and M. Ø. Nielsen (2012) doi:10.3982/ECTA9299, MacKinnon, J. G. and M. Ø. Nielsen (2014) doi:10.1002/jae.2295.

Last 30 days

This package has been downloaded 175 times in the last 30 days. Now we're getting somewhere! Enough downloads to populate a lively group chat. The following heatmap shows the distribution of downloads per day. Yesterday, it was downloaded 14 times.

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Last 365 days

This package has been downloaded 2,534 times in the last 365 days. Now we’re talking! This work is officially 'heard of in academic circles', just like those wild research papers on synthetic bananas. The day with the most downloads was Jul 21, 2024 with 76 downloads.

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