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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>.
Getting started
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Package details |
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| Author | Markus Belfrage [aut, cre], Paul Catani [ctb], Niklas Ahlgren [ctb] |
| Maintainer | Markus Belfrage <markus.belfrage@gmail.com> |
| License | GPL (>= 3) |
| Version | 2.0.7 |
| Package repository | View on CRAN |
| Installation |
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