TY - BOOK
T1 - Package ‘VARtests’
T2 - Tests for Error Autocorrelation and ARCH Errors in Vector Autoregressive Models
AU - Belfrage, Markus
PY - 2017/8/6
Y1 - 2017/8/6
N2 - Manual for the R package ‘VARtests’. Implements the Wild bootstrap tests for autocorrelation in vector autoregressive models
of Ahlgren, N. & Catani, P.
(2016, <doi:10.1007/s00362-016-0744-
0>) and the Combined LM test for ARCH in VAR models of Catani, P. & Ahlgren, N.
(2016, ).
AB - Manual for the R package ‘VARtests’. Implements the Wild bootstrap tests for autocorrelation in vector autoregressive models
of Ahlgren, N. & Catani, P.
(2016, <doi:10.1007/s00362-016-0744-
0>) and the Combined LM test for ARCH in VAR models of Catani, P. & Ahlgren, N.
(2016, ).
KW - 113 Computer and information sciences
UR - https://cran.r-project.org/web/packages/VARtests/VARtests.pdf
UR - https://cran.r-project.org/web/packages/VARtests/index.html
M3 - Book
BT - Package ‘VARtests’
ER -