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

Markus Belfrage; Paul Catani; Niklas Ahlgren

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

Markus Belfrage, Paul Catani, Niklas Ahlgren

Statistics, Helsinki

Research output: Book/Report › Book › Professional

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 language	English

Place of Publication	Vienna
Publisher	The R Foundation
Number of pages	19
Publication status	Published - 02.11.2018
MoE publication type	D5 Text book, professional manual or guide or a dictionary

Keywords

112 Statistics and probability
113 Computer and information sciences

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https://cran.r-project.org/web/packages/VARtests/VARtests.pdfLicence: GNU GPL

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title = "Package {\textquoteleft}VARtests{\textquoteright}: Tests for Error Autocorrelation, ARCH Errors, and Cointegration in Vector Autoregressive Models: Version 2.0.5",

abstract = "Manual for the R package {\textquoteleft}VARtests{\textquoteright} v.2.0.5. 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).",

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author = "Markus Belfrage and Paul Catani and Niklas Ahlgren",

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AU - Catani, Paul

AU - Ahlgren, Niklas

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AB - 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, ), 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).

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KW - 113 Computer and information sciences

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

Abstract

Keywords

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