Testing Large VARs for the Presence of Cointegration
Input checker for largevar function
Input checker for simfun function
Internal skeleton function of cointegration test for simfun function
Cointegration test for settings of large N and T
Creates the quantile table output for largevar function
Empirical p-value for cointegration test
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.