Package: Largevars
Type: Package
Title: Testing Large VARs for the Presence of Cointegration
Version: 1.0.3
Authors@R: 
  c(person(given = "Anna", family = "Bykhovskaya", role = "aut", email = "anna.bykhovskaya@duke.edu"),
    person(given = "Vadim", family = "Gorin", role = "aut", email = "vadicgor@gmail.com"),
    person(given = "Eszter", family = "Kiss", role = c("cre", "aut"), email = "ekiss2803@gmail.com"))
Maintainer: Eszter Kiss <ekiss2803@gmail.com>
Description: 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.
Encoding: UTF-8
LazyData: true
RoxygenNote: 7.3.2
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)
Config/testthat/edition: 3
License: MIT + file LICENSE
URL: https://github.com/eszter-kiss/Largevars
NeedsCompilation: no
Packaged: 2025-05-18 23:53:25 UTC; ekiss
Author: Anna Bykhovskaya [aut],
  Vadim Gorin [aut],
  Eszter Kiss [cre, aut]
Repository: CRAN
Date/Publication: 2025-05-19 02:10:02 UTC
Built: R 4.6.0; ; 2026-04-25 11:35:20 UTC; unix
