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Largevars  

Testing Large VARs for the Presence of Cointegration
View on CRAN: Click here


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

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

Install by package version:
library("remotes")
install_version("Largevars", "1.0.2")



Attach the package and use:
library("Largevars")
Maintained by
Eszter Kiss
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2024-10-31
Latest Update: 2024-10-31
Description:
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.
How to cite:
Eszter Kiss (2024). Largevars: Testing Large VARs for the Presence of Cointegration. R package version 1.0.2, https://cran.r-project.org/web/packages/Largevars. Accessed 02 Apr. 2025.
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