VARtests: Tests for Error Autocorrelation and ARCH Errors in Vector Autoregressive Models

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>
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:, r-release:, r-oldrel:
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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