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Largevars: An R Package for Testing Large VARs for the Presence of Cointegration

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  • Anna Bykhovskaya
  • Vadim Gorin
  • Eszter Kiss

Abstract

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.

Suggested Citation

  • Anna Bykhovskaya & Vadim Gorin & Eszter Kiss, 2025. "Largevars: An R Package for Testing Large VARs for the Presence of Cointegration," Papers 2509.06295, arXiv.org.
    • Handle: RePEc:arx:papers:2509.06295
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