Testing Large VARs for the Presence of Cointegration
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Documentation for package ‘Largevars’ version 1.0.3
Help Pages
| largevar | Cointegration test for settings of large N and T |
| percentiles | Quantiles for the limiting distribution of the test |
| quantile_tables | Creates the quantile table output for largevar function |
| sim_function | Empirical p-value for cointegration test |
| s_p100_price | Stock price data for example in vignette |