VARtests
Bootstrap Tests for Cointegration and Autocorrelation in VARs
Implements wild bootstrap tests for autocorrelation in Vector Autoregressive (VAR) models based on Ahlgren and Catani (2016) <doi:10.1007/s00362-016-0744-0>, a combined Lagrange Multiplier (LM) test for Autoregressive Conditional Heteroskedasticity (ARCH) in VAR models from Catani and Ahlgren (2016) <doi:10.1016/j.ecosta.2016.10.006>, and bootstrap-based methods for determining the cointegration rank from Cavaliere, Rahbek, and Taylor (2012) <doi:10.3982/ECTA9099> and Cavaliere, Rahbek, and Taylor (2014) <doi:10.1080/07474938.2013.825175>.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
2.0.7 |
rolling linux/jammy R-4.5 | VARtests_2.0.7.tar.gz |
311.4 KiB |
2.0.7 |
rolling linux/noble R-4.5 | VARtests_2.0.7.tar.gz |
317.3 KiB |
2.0.7 |
rolling source/ R- | VARtests_2.0.7.tar.gz |
40.5 KiB |
2.0.7 |
latest linux/jammy R-4.5 | VARtests_2.0.7.tar.gz |
311.4 KiB |
2.0.7 |
latest linux/noble R-4.5 | VARtests_2.0.7.tar.gz |
317.3 KiB |
2.0.7 |
latest source/ R- | VARtests_2.0.7.tar.gz |
40.5 KiB |
2.0.7 |
2026-04-26 source/ R- | VARtests_2.0.7.tar.gz |
40.5 KiB |
2.0.7 |
2026-04-23 source/ R- | VARtests_2.0.7.tar.gz |
40.5 KiB |
2.0.7 |
2026-04-09 windows/windows R-4.5 | VARtests_2.0.7.zip |
719.9 KiB |