VARtests

Tests for Error Autocorrelation, ARCH Errors, and Cointegration in Vector Autoregressive Models

CRAN Package

Implements the Wild bootstrap tests for autocorrelation in vector autoregressive models of Ahlgren, N. & Catani, P. (2016, ), the Combined LM test for ARCH in VAR models of Catani, P. & Ahlgren, N. (2016, ), and Bootstrap determination of the co-integration rank (Cavaliere, G., Rahbek, A., & Taylor, A. M. R., 2012, 2014).

  • Version2.0.5
  • R version≥ 3.0.2
  • LicenseGPL (≥ 3)
  • Needs compilation?Yes
  • Last release11/02/2018

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  • Depends1 package
  • Imports3 packages
  • Linking To2 packages