TY - BOOK
T1 - Package ‘VARtests’: Tests for Error Autocorrelation, ARCH Errors, and Cointegration in Vector Autoregressive Models
T2 - Version 2.0.5
AU - Belfrage, Markus
AU - Catani, Paul
AU - Ahlgren, Niklas
N1 - Manual for the R package ‘VARtests’ v.2.0.5.
PY - 2018/11/2
Y1 - 2018/11/2
N2 - 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).
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).
KW - 112 Statistics and probability
KW - 113 Computer and information sciences
M3 - Book
BT - Package ‘VARtests’: Tests for Error Autocorrelation, ARCH Errors, and Cointegration in Vector Autoregressive Models
PB - The R Foundation
CY - Vienna
ER -