2025/09/08 by Anna Bykhovskaya, Vadim Gorin, Bykhovskaya, Anna +3
Mathematics · #Computation (stat.CO) #Econometrics (econ.EM) #FOS: Computer and information sciences #FOS: Economics and business #Methodology (stat.ME) #Statistical Methods and Inference
paper · pdf · doi:10.48550/arxiv.2509.06295
openalex publication_date 2025/09/08 · openalex created_date 2025/10/11 · openalex updated_date 2026/07/28
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 Airy1 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 Airy1 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.