VARtests: Tests for Error Autocorrelation, ARCH Errors, and Cointegration in Vector Autoregressive Models

Implements the Wild bootstrap tests for autocorrelation in vector autoregressive models of Ahlgren, N. & Catani, P. (2016, <doi:10.1007/s00362-016-0744-0>), the Combined LM test for ARCH in VAR models of Catani, P. & Ahlgren, N. (2016, <doi:10.1016/j.ecosta.2016.10.006>), and Bootstrap determination of the co-integration rank (Cavaliere, G., Rahbek, A., & Taylor, A. M. R., 2012, 2014).

Version: 2.0.5
Depends: R (≥ 3.0.2)
Imports: methods, Rcpp, sn
LinkingTo: Rcpp (≥ 0.12.10), RcppArmadillo
Published: 2018-11-02
Author: Markus Belfrage [aut, cre], Paul Catani [ctb], Niklas Ahlgren [ctb]
Maintainer: Markus Belfrage <markus.belfrage at gmail.com>
License: GPL (≥ 3)
NeedsCompilation: yes
Materials: NEWS
CRAN checks: VARtests results

Downloads:

Reference manual: VARtests.pdf
Package source: VARtests_2.0.5.tar.gz
Windows binaries: r-devel: VARtests_2.0.5.zip, r-devel-gcc8: VARtests_2.0.5.zip, r-release: VARtests_2.0.5.zip, r-oldrel: VARtests_2.0.5.zip
OS X binaries: r-release: VARtests_2.0.5.tgz, r-oldrel: VARtests_2.0.5.tgz
Old sources: VARtests archive

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