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Largevars

Testing Large VARs for the Presence of Cointegration

Conducts a cointegration test for high-dimensional vector autoregressions (VARs) of order k based on the large N,T asymptotics of Bykhovskaya and Gorin, 2022 (<doi:10.48550/arXiv.2202.07150>). The implemented test is a modification of the Johansen likelihood ratio test. In the absence of cointegration the test converges to the partial sum of the Airy-1 point process. This package contains simulated quantiles of the first ten partial sums of the Airy-1 point process that are precise up to the first three digits.

Versions across snapshots

VersionRepositoryFileSize
1.0.3 rolling linux/jammy R-4.5 Largevars_1.0.3.tar.gz 436.9 KiB
1.0.3 rolling linux/noble R-4.5 Largevars_1.0.3.tar.gz 436.5 KiB
1.0.3 rolling source/ R- Largevars_1.0.3.tar.gz 302.3 KiB
1.0.3 latest linux/jammy R-4.5 Largevars_1.0.3.tar.gz 436.9 KiB
1.0.3 latest linux/noble R-4.5 Largevars_1.0.3.tar.gz 436.5 KiB
1.0.3 latest source/ R- Largevars_1.0.3.tar.gz 302.3 KiB
1.0.3 2026-04-26 source/ R- Largevars_1.0.3.tar.gz 302.3 KiB
1.0.3 2026-04-23 source/ R- Largevars_1.0.3.tar.gz 302.3 KiB
1.0.3 2026-04-09 windows/windows R-4.5 Largevars_1.0.3.zip 440.7 KiB
1.0.2 2025-04-20 source/ R- Largevars_1.0.2.tar.gz 553.3 KiB

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