VARtests: Bootstrap Tests for Cointegration and Autocorrelation in VARs
Implements wild bootstrap tests for autocorrelation in Vector
Autoregressive (VAR) models based on Ahlgren and Catani (2016)
<doi:10.1007/s00362-016-0744-0>, a combined Lagrange Multiplier (LM)
test for Autoregressive Conditional Heteroskedasticity (ARCH) in VAR
models from Catani and Ahlgren (2016) <doi:10.1016/j.ecosta.2016.10.006>,
and bootstrap-based methods for determining the cointegration rank from
Cavaliere, Rahbek, and Taylor (2012) <doi:10.3982/ECTA9099> and
Cavaliere, Rahbek, and Taylor (2014) <doi:10.1080/07474938.2013.825175>.
| Version: |
2.0.7 |
| Depends: |
R (≥ 3.0.2) |
| Imports: |
methods, Rcpp, sn |
| LinkingTo: |
Rcpp (≥ 0.12.10), RcppArmadillo |
| Suggests: |
vars |
| Published: |
2025-07-25 |
| 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 |
Documentation:
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