Largevars

Testing Large VARs for the Presence of Cointegration

CRAN Package

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.


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Insights

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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The following line graph shows the downloads per day. You can hover over the graph to see the exact number of downloads per day.

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.

The following line graph shows the downloads per day. You can hover over the graph to see the exact number of downloads per day.

Data provided by CRAN


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  • Suggests4 packages