CRAN

VARtests 2.0.5

Tests for Error Autocorrelation, ARCH Errors, and Cointegration in Vector Autoregressive Models

Released Nov 2, 2018 by Markus Belfrage

This package can be loaded by Renjin but there was an error compiling C/FORTRAN sources and 3 out 4 tests failed.

Dependencies

Rcpp RcppArmadillo 0.9.100.5.0 sn 1.5-2

Implements the Wild bootstrap tests for autocorrelation in vector autoregressive models of Ahlgren, N. & Catani, P. (2016, ), the Combined LM test for ARCH in VAR models of Catani, P. & Ahlgren, N. (2016, ), and Bootstrap determination of the co-integration rank (Cavaliere, G., Rahbek, A., & Taylor, A. M. R., 2012, 2014).

Installation

Maven

This package can be included as a dependency from a Java or Scala project by including the following your project's pom.xml file. Read more about embedding Renjin in JVM-based projects.

<dependencies>
  <dependency>
    <groupId>org.renjin.cran</groupId>
    <artifactId>VARtests</artifactId>
    <version>2.0.5-b2</version>
  </dependency>
</dependencies>
<repositories>
  <repository>
    <id>bedatadriven</id>
    <name>bedatadriven public repo</name>
    <url>https://nexus.bedatadriven.com/content/groups/public/</url>
  </repository>
</repositories>

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Renjin CLI

If you're using Renjin from the command line, you load this library by invoking:

library('org.renjin.cran:VARtests')

Test Results

This package was last tested against Renjin 0.9.2706 on Nov 6, 2018.

Source

R
C++

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Release History