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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.
| Version: | 1.0.2 |
| Depends: | R (≥ 3.5.0) |
| Imports: | methods, graphics, stats, utils |
| Suggests: | testthat (≥ 3.0.0), tibble (≥ 3.0.0), data.table (≥ 1.14.0), readr (≥ 2.1.0) |
| Published: | 2024-10-31 |
| DOI: | 10.32614/CRAN.package.Largevars |
| Author: | Anna Bykhovskaya [aut], Vadim Gorin [aut], Eszter Kiss [cre, aut] |
| Maintainer: | Eszter Kiss <ekiss2803 at gmail.com> |
| License: | MIT + file LICENSE |
| URL: | https://github.com/eszter-kiss/Largevars |
| NeedsCompilation: | no |
| Citation: | Largevars citation info |
| Materials: | README |
| CRAN checks: | Largevars results |
| Reference manual: | Largevars.pdf |
| Package source: | Largevars_1.0.2.tar.gz |
| Windows binaries: | r-devel: Largevars_1.0.2.zip, r-release: Largevars_1.0.2.zip, r-oldrel: Largevars_1.0.2.zip |
| macOS binaries: | r-release (arm64): Largevars_1.0.2.tgz, r-oldrel (arm64): Largevars_1.0.2.tgz, r-release (x86_64): Largevars_1.0.2.tgz, r-oldrel (x86_64): Largevars_1.0.2.tgz |
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