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

Research output: Non-textual formSoftwareProfessional

Abstract

Version 2.0.5 of 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>), 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 cointegration rank (Cavaliere, G., Rahbek, A., & Taylor, A. M. R., 2012, 2014).
Original languageEnglish
Media of outputOnline
Publication statusPublished - 02.11.2018
MoE publication typeI2 ICT software

Keywords

  • 112 Statistics and probability
  • 113 Computer and information sciences

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