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, ), 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).


Reference manual

It appears you don't have a PDF plugin for this browser. You can click here to download the reference manual.


2.0.5 by Markus Belfrage, 3 years ago

Browse source code at https://github.com/cran/VARtests

Authors: Markus Belfrage [aut, cre] , Paul Catani [ctb] , Niklas Ahlgren [ctb]

Documentation:   PDF Manual  

GPL (>= 3) license

Imports methods, Rcpp, sn

Linking to Rcpp, RcppArmadillo

See at CRAN