Implements the Wild bootstrap tests for autocorrelation in vector autoregressive models of Ahlgren, N. & Catani, P. (2016, <doi:10.1007/s00362-016-0744-0>) and the Combined LM test for ARCH in VAR models of Catani, P. & Ahlgren, N. (2016, <doi:10.1016/j.ecosta.2016.10.006>).
Version: | 1.0.1 |
Depends: | R (≥ 3.0.2) |
Imports: | methods, Rcpp, sn |
LinkingTo: | Rcpp (≥ 0.12.10), RcppArmadillo |
Published: | 2017-08-06 |
Author: | Markus Belfrage [aut, cre], Paul Catani [ctb] Niklas Ahlgren [ctb] |
Maintainer: | Markus Belfrage <markus.belfrage at gmail.com> |
License: | GPL (≥ 3) |
NeedsCompilation: | yes |
CRAN checks: | VARtests results |
Reference manual: | VARtests.pdf |
Package source: | VARtests_1.0.1.tar.gz |
Windows binaries: | r-devel: VARtests_1.0.1.zip, r-release: VARtests_1.0.1.zip, r-oldrel: VARtests_1.0.1.zip |
OS X El Capitan binaries: | r-release: VARtests_1.0.1.tgz |
OS X Mavericks binaries: | r-oldrel: VARtests_1.0.1.tgz |
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