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

Package details

Author Markus Belfrage [aut, cre], Paul Catani [ctb], Niklas Ahlgren [ctb]
MaintainerMarkus Belfrage <[email protected]>
LicenseGPL (>= 3)
Package repositoryView on CRAN
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VARtests documentation built on May 2, 2019, 5:03 a.m.