Other packages > Find by keyword >

VARtests  

Bootstrap Tests for Cointegration and Autocorrelation in VARs
View on CRAN: Click here


Download and install VARtests package within the R console
Install from CRAN:
install.packages("VARtests")

Install from Github:
library("remotes")
install_github("cran/VARtests")

Install by package version:
library("remotes")
install_version("VARtests", "2.0.7")



Attach the package and use:
library("VARtests")
Maintained by
Markus Belfrage
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2017-08-07
Latest Update: 2025-07-25
Description:
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>.
How to cite:
Markus Belfrage (2017). VARtests: Bootstrap Tests for Cointegration and Autocorrelation in VARs. R package version 2.0.7, https://cran.r-project.org/web/packages/VARtests. Accessed 21 Aug. 2026.
Previous versions and publish date:
(2026-07-09 08:28), 1.0.1 (2017-08-07 01:04), 2.0.5 (2018-11-02 18:30)
Other packages that cited VARtests R package
View VARtests citation profile
Other R packages that VARtests depends, imports, suggests or enhances
Complete documentation for VARtests
Functions, R codes and Examples using the VARtests R package
Full VARtests package functions and examples
Downloads during the last 30 days

Today's Hot Picks in Authors and Packages

artfima  
ARTFIMA Model Estimation
Fit and simulate ARTFIMA. Theoretical autocovariance function and spectral density function for stat ...
Download / Learn more Package Citations See dependency  
preputils  
Utilities for Preparation of Data Analysis
Miscellaneous small utilities are provided to mitigate issues with messy, inconsistent or high dimen ...
Download / Learn more Package Citations See dependency  
potential  
Implementation of the Potential Model
Provides functions to compute the potential model as defined by Stewart (1941) ...
Download / Learn more Package Citations See dependency  
quickcode  
Quick and Essential 'R' Tricks for Better Scripts
The NOT functions, 'R' tricks and a compilation of some simple quick plus often used 'R' codes to im ...
Download / Learn more Package Citations See dependency  

28,332

R Packages

239,283

Dependencies

75,034

Author Associations

28,333

Publication Badges

© Copyright since 2022. All right reserved, rpkg.net.  Based in Cambridge, Massachusetts, USA