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.
- Version1.0.2
- R version≥ 3.5.0
- LicenseMIT
- Needs compilation?No
- Largevars citation info
- Last release10/31/2024
Documentation
Team
Eszter Kiss
Anna Bykhovskaya
Show author detailsRolesAuthorVadim Gorin
Show author detailsRolesAuthor
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Last 30 days
This package has been downloaded 490 times in the last 30 days. More than a random curiosity, but not quite a blockbuster. Still, it's gaining traction! The following heatmap shows the distribution of downloads per day. Yesterday, it was downloaded 4 times.
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Last 365 days
This package has been downloaded 2,771 times in the last 365 days. Now we’re talking! This work is officially 'heard of in academic circles', just like those wild research papers on synthetic bananas. The day with the most downloads was Feb 08, 2025 with 54 downloads.
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