An R Package for the Fractionally Cointegrated VAR Model


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. See the file FCVAR_README.pdf for examples and the Webpage https://sites.google.com/view/mortennielsen/software for more information about the FCVAR model.

How to Install FCVAR

Install the latest release using the install.packages() function:


Alternatively, you can install the development version on GitHub using the devtools package:


However, the version on CRAN is recommended because that version is tested and vetted for submission to CRAN.

Currently, the development version has no new features that are not already available in the released version available on CRAN.

Downstream dependencies

There are currently no downstream dependencies for this package.

Test environments

Checks on Rhub:

Checks on local machine:

Checks on win-builder:

Checks on M1mac

R CMD check results

There were no ERRORs or WARNINGs.

There was one NOTE from the check on Windows Server 2022, R-devel, 64 bit on Rhub:

Release Notes

May 4, 2022: FCVAR v0.1.4

May 4, 2022: FCVAR v0.1.3

March 10, 2022: FCVAR v0.1.2

August 6, 2021: FCVAR v0.1.1

August 5, 2021: FCVAR v0.1.1

August 4, 2021: Fourth submission (FCVAR v0.1.0).

July 30, 2021: Third submission (FCVAR v0.1.0).

July 30, 2021: Second submission (FCVAR v0.1.0).

July 30, 2021: First submission (FCVAR v0.1.0).