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VARtests (version 2.0.7)

Bootstrap Tests for Cointegration and Autocorrelation in VARs

Description

Implements wild bootstrap tests for autocorrelation in Vector Autoregressive (VAR) models based on Ahlgren and Catani (2016) , a combined Lagrange Multiplier (LM) test for Autoregressive Conditional Heteroskedasticity (ARCH) in VAR models from Catani and Ahlgren (2016) , and bootstrap-based methods for determining the cointegration rank from Cavaliere, Rahbek, and Taylor (2012) and Cavaliere, Rahbek, and Taylor (2014) .

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Version

Install

install.packages('VARtests')

Monthly Downloads

110

Version

2.0.7

License

GPL (>= 3)

Maintainer

Markus Belfrage

Last Published

July 25th, 2025

Functions in VARtests (2.0.7)

cointBootTest

Bootstrap Determination of Cointegration Rank in VAR Models
DataFiles

Multiple Time Series Data Set
VARfit-methods

Methods for Objects of Class VARfit
wildBoot

Wild Bootstrap Tests for Error Autocorrelation
VARsim

Simulates vector autoregressive (VAR) series
ACtest

Test for Error Autocorrelation in VAR Models.
VARfit

VAR(p) (Vector Autoregression) Model Fitting.
archBootTest

Combined LM test for ARCH errors in VAR models.