Largevars: An R Package for Testing Large VARs for the Presence of Cointegration
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arXiv
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| Auteurs principaux: | , , |
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| Format: | Preprint |
| Publié: |
2025
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| _version_ | 1866916939341758464 |
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| author | Bykhovskaya, Anna Gorin, Vadim Kiss, Eszter |
| author_facet | Bykhovskaya, Anna Gorin, Vadim Kiss, Eszter |
| contents | Cointegration is a property of multivariate time series that determines whether its non-stationary, growing components have a stationary linear combination. Largevars R package conducts a cointegration test for high-dimensional vector autoregressions of order k based on the large N, T asymptotics of Bykhovskaya and Gorin (2022, 2025). 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, an object arising in random matrix theory.
The package and this article contain simulated quantiles of the first ten partial sums of the Airy_1 point process that are precise up to the first 3 digits. We also include two examples using Largevars: an empirical example on S&P100 stocks and a simulated VAR(2) example. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2509_06295 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Largevars: An R Package for Testing Large VARs for the Presence of Cointegration Bykhovskaya, Anna Gorin, Vadim Kiss, Eszter Econometrics Computation Methodology Cointegration is a property of multivariate time series that determines whether its non-stationary, growing components have a stationary linear combination. Largevars R package conducts a cointegration test for high-dimensional vector autoregressions of order k based on the large N, T asymptotics of Bykhovskaya and Gorin (2022, 2025). 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, an object arising in random matrix theory. The package and this article contain simulated quantiles of the first ten partial sums of the Airy_1 point process that are precise up to the first 3 digits. We also include two examples using Largevars: an empirical example on S&P100 stocks and a simulated VAR(2) example. |
| title | Largevars: An R Package for Testing Large VARs for the Presence of Cointegration |
| topic | Econometrics Computation Methodology |
| url | https://arxiv.org/abs/2509.06295 |