Package ‘VARtests’: Tests for Error Autocorrelation, ARCH Errors, and Cointegration in Vector Autoregressive Models: Version 2.0.5

Research output: Book/ReportBookProfessional

Abstract

Manual for the R package ‘VARtests’ v.2.0.5. Implements the Wild bootstrap tests for autocorrelation in vector autoregressive models of Ahlgren, N. & Catani, P. (2016, <doi:10.1007/s00362-016-0744-0>), the Combined LM test for ARCH in VAR models of Catani, P. & Ahlgren, N. (2016, <doi:10.1016/j.ecosta.2016.10.006>), and Bootstrap determination of the co-integration rank (Cavaliere, G., Rahbek, A., & Taylor, A. M. R., 2012, 2014).
Original languageEnglish
Place of PublicationVienna
PublisherThe R Foundation
Number of pages19
Publication statusPublished - 02.11.2018
MoE publication typeD5 Text book, professional manual or guide or a dictionary

Keywords

  • 112 Statistics and probability
  • 113 Computer and information sciences

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