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VARtests (version 2.0.5)

Tests for Error Autocorrelation, ARCH Errors, and Cointegration in Vector Autoregressive Models

Description

Implements the Wild bootstrap tests for autocorrelation in vector autoregressive models of Ahlgren, N. & Catani, P. (2016, ), the Combined LM test for ARCH in VAR models of Catani, P. & Ahlgren, N. (2016, ), and Bootstrap determination of the co-integration rank (Cavaliere, G., Rahbek, A., & Taylor, A. M. R., 2012, 2014).

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Install

install.packages('VARtests')

Monthly Downloads

9

Version

2.0.5

License

GPL (>= 3)

Maintainer

Markus Belfrage

Last Published

November 2nd, 2018

Functions in VARtests (2.0.5)

Test for Error Autocorrelation in VAR Models.

Combined LM test for ARCH errors in VAR models.

Bootstrap Determination of Cointegration Rank in VAR Models

VAR(p) (Vector Autoregression) Model Fitting.

Simulates vector autoregressive (VAR) series

Multiple Time Series Data Set

Wild Bootstrap Tests for Error Autocorrelation

Methods for class VARfit