Other packages > Find by keyword >

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 25 Apr. 2025.
Previous versions and publish date:
No previous versions
Other packages that cited Largevars R package
View Largevars citation profile
Other R packages that Largevars depends, imports, suggests or enhances
Complete documentation for Largevars
Functions, R codes and Examples using the Largevars R package
Full Largevars package functions and examples
Downloads during the last 30 days

Today's Hot Picks in Authors and Packages

xesreadR  
Read and Write XES Files
Read and write XES Files to create event log objects used by the 'bupaR' framework. XES (Extensible ...
Download / Learn more Package Citations See dependency  
nextGenShinyApps  
Craft Exceptional 'R Shiny' Applications and Dashboards with Novel Responsive Tools
Nove responsive tools for designing and developing 'Shiny' dashboards and applications. The scripts ...
Download / Learn more Package Citations See dependency  
cond  
Approximate Conditional Inference for Logistic and Loglinear Models
Higher order likelihood-based inference for logistic and loglinear models. ...
Download / Learn more Package Citations See dependency  
fdacluster  
Joint Clustering and Alignment of Functional Data
Implementations of the k-means, hierarchical agglomerative and DBSCAN clustering methods for functi ...
Download / Learn more Package Citations See dependency  
stepp  
Subpopulation Treatment Effect Pattern Plot (STEPP)
A method to explore the treatment-covariate interactions in survival or generalized linear model ( ...
Download / Learn more Package Citations See dependency  
bender  
Bender Client
R client for Bender Hyperparameters optimizer : The R client allows you ...
Download / Learn more Package Citations See dependency  

24,098

R Packages

207,311

Dependencies

65,176

Author Associations

24,099

Publication Badges

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