Package: VARtests 2.0.7
Markus Belfrage
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>.
Authors:
VARtests_2.0.7.tar.gz
VARtests_2.0.7.tar.gz(r-4.7-arm64)VARtests_2.0.7.tar.gz(r-4.7-x86_64)VARtests_2.0.7.tar.gz(r-4.6-arm64)VARtests_2.0.7.tar.gz(r-4.6-x86_64)
VARtests_2.0.7.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION |NEWS
card.svg |card.png
VARtests/json (API)
| # Install 'VARtests' in R: |
| install.packages('VARtests', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org')) |
- VodafoneCDS - Multiple Time Series Data Set
This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.
Last updated from:d595acecf3. Checks:6 OK. Indexed: yes.
| Target | Result | Time | Files | Syslog |
|---|---|---|---|---|
| linux-devel-arm64 | OK | 144 | ||
| linux-devel-x86_64 | OK | 145 | ||
| source / vignettes | OK | 205 | ||
| linux-release-arm64 | OK | 191 | ||
| linux-release-x86_64 | OK | 142 | ||
| wasm-release | OK | 135 |
Exports:ACtestarchBootTestcointBootTestVARfitVARsimwildBoot
Dependencies:latticeMASSMatrixMatrixModelsmnormtnumDerivquantregRcppRcppArmadillosnSparseMsurvival
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Test for Error Autocorrelation in VAR Models. | ACtest print.ACtest |
| Combined LM test for ARCH errors in VAR models. | archBootTest print.archBootTest |
| Bootstrap Determination of Cointegration Rank in VAR Models | cointBootTest print.cointBootTest |
| Multiple Time Series Data Set | DataFiles VodafoneCDS |
| VAR(p) (Vector Autoregression) Model Fitting. | VARfit |
| Methods for Objects of Class 'VARfit' | coef.VARfit print.VARfit residuals.VARfit |
| Simulates vector autoregressive (VAR) series | VARsim |
| Wild Bootstrap Tests for Error Autocorrelation | print.wildBoot wildBoot |