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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 29 Jul. 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
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