Package ‘VARtests’: Tests for Error Autocorrelation and ARCH Errors in Vector Autoregressive Models

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Abstract

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, <doi:10.1016/j.ecosta.2016.10.006>).
Original languageEnglish
Publication statusPublished - 06.08.2017
MoE publication typeD5 Text book, professional manual or guide or a dictionary

Keywords

  • 113 Computer and information sciences

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