Implements the Wild bootstrap tests for autocorrelation in vector autoregressive models of Ahlgren, N. & Catani, P. (2016, <doi:10.1007/s00362-016-0744-0>), the Combined LM test for ARCH in VAR models of Catani, P. & Ahlgren, N. (2016, <doi:10.1016/j.ecosta.2016.10.006>), and Bootstrap determination of the co-integration rank (Cavaliere, G., Rahbek, A., & Taylor, A. M. R., 2012, 2014).
| Version: | 2.0.5 |
| Depends: | R (≥ 3.0.2) |
| Imports: | methods, Rcpp, sn |
| LinkingTo: | Rcpp (≥ 0.12.10), RcppArmadillo |
| Published: | 2018-11-02 |
| Author: | Markus Belfrage [aut, cre], Paul Catani [ctb], Niklas Ahlgren [ctb] |
| Maintainer: | Markus Belfrage <markus.belfrage at gmail.com> |
| License: | GPL (≥ 3) |
| NeedsCompilation: | yes |
| Materials: | NEWS |
| CRAN checks: | VARtests results |
| Reference manual: | VARtests.pdf |
| Package source: | VARtests_2.0.5.tar.gz |
| Windows binaries: | r-devel: VARtests_2.0.5.zip, r-release: VARtests_2.0.5.zip, r-oldrel: VARtests_2.0.5.zip |
| macOS binaries: | r-release: VARtests_2.0.5.tgz, r-oldrel: VARtests_2.0.5.tgz |
| Old sources: | VARtests archive |
Please use the canonical form https://CRAN.R-project.org/package=VARtests to link to this page.