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 443 times in the last 30 days. Now we're getting somewhere! Enough downloads to populate a lively group chat. The following heatmap shows the distribution of downloads per day. Yesterday, it was downloaded 5 times.
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Last 365 days
This package has been downloaded 2,779 times in the last 365 days. Consider this 'mid-tier influencer' status—if it were a TikTok, it would get a nod from nieces and nephews. The day with the most downloads was Feb 08, 2025 with 54 downloads.
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