Largevars: Testing Large VARs for the Presence of Cointegration
Conducts a cointegration test for high-dimensional vector autoregressions (VARs) of order k based on the large N,T asymptotics of Bykhovskaya and Gorin, 2022 (<doi:10.48550/arXiv.2202.07150>). The implemented test is a modification of the Johansen likelihood ratio test. In the absence of cointegration the test converges to the partial sum of the Airy-1 point process. This package contains simulated quantiles of the first ten partial sums of the Airy-1 point process that are precise up to the first three digits.
| Version: |
1.0.3 |
| Depends: |
R (≥ 3.5.0) |
| Imports: |
methods, graphics, stats, utils |
| Suggests: |
testthat (≥ 3.0.0), tibble (≥ 3.0.0), data.table (≥
1.14.0), readr (≥ 2.1.0) |
| Published: |
2025-05-19 |
| DOI: |
10.32614/CRAN.package.Largevars |
| Author: |
Anna Bykhovskaya [aut],
Vadim Gorin [aut],
Eszter Kiss [cre, aut] |
| Maintainer: |
Eszter Kiss <ekiss2803 at gmail.com> |
| License: |
MIT + file LICENSE |
| URL: |
https://github.com/eszter-kiss/Largevars |
| NeedsCompilation: |
no |
| Citation: |
Largevars citation info |
| Materials: |
README, NEWS |
| CRAN checks: |
Largevars results |
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