Largevars: Testing Large VARs for the Presence of Cointegration

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:	1.0.3
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:	2025-05-19
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, NEWS
CRAN checks:	Largevars results

Documentation:

Reference manual:

Largevars.html , Largevars.pdf

Downloads:

Package source:	Largevars_1.0.3.tar.gz
Windows binaries:	r-devel: Largevars_1.0.3.zip, r-release: Largevars_1.0.3.zip, r-oldrel: Largevars_1.0.3.zip
macOS binaries:	r-release (arm64): Largevars_1.0.3.tgz, r-oldrel (arm64): Largevars_1.0.3.tgz, r-release (x86_64): Largevars_1.0.3.tgz, r-oldrel (x86_64): Largevars_1.0.3.tgz
Old sources:	Largevars archive

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