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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).
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 | 2.0.5 |
| Package repository | View on CRAN |
| Installation |
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