R Code For Two Multivariate Long Memory Models

This page contains the R code associated with the FIVAR and VARFI models discussed by Sela and Hurvich, in the paper "Computationally Efficient Methods for Two Multivariate Fractionally Integrated Models." Please e-mail rsela AT stern DOT nyu DOT edu with suggestions, questions, or bug reports.

R code
Documentation for the R code
Working paper on which the R code is based
Presentations associated with the paper above: Short and Long
Phillips curve example: Data and code
Goods and services inflation example: Data and code

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