VARtests

MaRDI QIDQ7384037CRANFDO

Authors Markus Belfrage

Last update 25 July 2025

Copyright license GNU General Public License

Software version identifier PACKAGES.rds, 1.0.1, 2.0.5, 2.0.7

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>.

Cites work

• Bootstrap determination of the co-integration rank in heteroskedastic VAR models
• Bootstrap determination of the co-integration rank in vector autoregressive models
• Combined Lagrange multiplier test for ARCH in vector autoregressive models
• Wild bootstrap tests for autocorrelation in vector autoregressive models

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