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

Markus Belfrage; Paul Catani; Niklas Ahlgren

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

Markus Belfrage, Paul Catani, Niklas Ahlgren

Ekonomisk statistik, Helsingfors

Forskningsoutput: Icke-textbaserad output › Programvara › Yrkesinriktad

Sammanfattning

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).

Originalspråk	Engelska
Utgivningsformat	Online
Status	Publicerad - 02.11.2018
MoE-publikationstyp	I2 ICT-programvara

Nyckelord

112 Statistik
113 Data- och informationsvetenskap

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https://CRAN.R-project.org/package=VARtestsLicens: GNU GPL

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@misc{d17492180bb74b7f8d309af1e7b68320,

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

abstract = "Version 2.0.5 of the R package {\textquoteleft}VARtests{\textquoteright}. 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, ), and Bootstrap determination of the cointegration rank (Cavaliere, G., Rahbek, A., & Taylor, A. M. R., 2012, 2014). ",

keywords = "112 Statistics and probability, 113 Computer and information sciences",

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

note = "Version 2.0.5 of the R package {\textquoteleft}VARtests{\textquoteright}.",

year = "2018",

month = nov,

day = "2",

language = "English",

}

TY - ADVS

T1 - 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 - Version 2.0.5 of the R package ‘VARtests’.

PY - 2018/11/2

Y1 - 2018/11/2

N2 - 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, ), and Bootstrap determination of the cointegration rank (Cavaliere, G., Rahbek, A., & Taylor, A. M. R., 2012, 2014).

AB - 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, ), and Bootstrap determination of the cointegration rank (Cavaliere, G., Rahbek, A., & Taylor, A. M. R., 2012, 2014).

KW - 112 Statistics and probability

KW - 113 Computer and information sciences

M3 - Software

ER -

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

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