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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