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 |
Documentation:
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