Dear folk,
I am stempting to estimate a vector error correction model using a
seemingly fractionally integrated multivariate time series. The
*fracdiff *package
provides tools to estimate degree of fractional integration. But
*fracdiff *can't
help me to:
1. test equality of two degrees of fractional integration, say d1=d2?
2. estimate a multivariate cointegrating error correction model, like*
ca.jo *function in* urca* does for standard cointegration.
Can anyone suggest me if there is a way to do these in R please?
Thanks in advance
Mamush.
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