Package: Largevars 0.1.0
Eszter Kiss
Largevars: Largevars: An R Package for Testing Large VARs for the Presence of Cointegration
Runs the Bykhovskaya-Gorin test for cointegration and does simulations for the proxy H0 (https://doi.org/10.48550/arXiv.2202.07150).
Authors:
Largevars_0.1.0.tar.gz
Largevars_0.1.0.zip(r-4.5)Largevars_0.1.0.zip(r-4.4)Largevars_0.1.0.zip(r-4.3)
Largevars_0.1.0.tgz(r-4.4-any)Largevars_0.1.0.tgz(r-4.3-any)
Largevars_0.1.0.tar.gz(r-4.5-noble)Largevars_0.1.0.tar.gz(r-4.4-noble)
Largevars_0.1.0.tgz(r-4.4-emscripten)Largevars_0.1.0.tgz(r-4.3-emscripten)
Largevars.pdf |Largevars.html✨
Largevars/json (API)
| # Install 'Largevars' in R: |
| install.packages('Largevars', repos = c('https://eszter-kiss.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/eszter-kiss/largevars/issues
Datasets:
- percentiles - Quantiles for the limiting distribution of the test
- s_p100_price_adj - Stock price data for example in vignette
Last updated 2 months agofrom:a2e411efcf. Checks:OK: 1 ERROR: 6. Indexed: yes.
| Target | Result | Date |
|---|---|---|
| Doc / Vignettes | OK | Nov 01 2024 |
| R-4.5-win | ERROR | Nov 01 2024 |
| R-4.5-linux | ERROR | Nov 01 2024 |
| R-4.4-win | ERROR | Nov 01 2024 |
| R-4.4-mac | ERROR | Nov 01 2024 |
| R-4.3-win | ERROR | Nov 01 2024 |
| R-4.3-mac | ERROR | Nov 01 2024 |
Exports:largevarquantile_tablessim_function
Dependencies:
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Cointegration test for settings of large N and T | largevar |
| Quantiles for the limiting distribution of the test | percentiles |
| Creates the quantile table output for largevar function | quantile_tables |
| Stock price data for example in vignette | s_p100_price_adj |
| Empirical p-value for cointegration test | sim_function |
