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>.
| Version: | 2.0.7 |
| Depends: | R (≥ 3.0.2) |
| Imports: | methods,Rcpp,sn |
| LinkingTo: | Rcpp (≥ 0.12.10),RcppArmadillo |
| Suggests: | vars |
| Published: | 2025-07-25 |
| DOI: | 10.32614/CRAN.package.VARtests |
| 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.html ,VARtests.pdf |
| Package source: | VARtests_2.0.7.tar.gz |
| Windows binaries: | r-devel:VARtests_2.0.7.zip, r-release:VARtests_2.0.7.zip, r-oldrel:VARtests_2.0.7.zip |
| macOS binaries: | r-release (arm64):VARtests_2.0.7.tgz, r-oldrel (arm64):VARtests_2.0.7.tgz, r-release (x86_64):VARtests_2.0.7.tgz, r-oldrel (x86_64):VARtests_2.0.7.tgz |
| Old sources: | VARtests archive |
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