Anna Bykhovskaya, Vadim Gorin, Eszter Kiss
arXiv 8 Sep 2025 · Econometrics
arXiv:2509.06295 · PDF · DOI · OpenAlex · Extracted main text
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.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | A. Bykhovskaya and V. Gorin (2025) Asymptotics of cointegration tests for high-dimensional VAR($k$) | 1.000 | 12 | 5 | 100% |
| 2 | A. Bykhovskaya and V. Gorin (2022) Cointegration in large VARs | 1.000 | 10 | 5 | 100% |
| 3 | S. Johansen (1988) Statistical analysis of cointegrating vectors | 0.874 | 5 | 2 | 100% |
| 4 | S. Johansen (1991) Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models | 0.874 | 5 | 2 | 100% |
| 5 | A. Onatski and C. Wang (2018) Alternative asymptotics for cointegration tests in large vars | 0.811 | 4 | 2 | 100% |
| 6 | A. Bejan (2005) Largest eigenvalues and sample covariance matrices. Tracy-widom and Painlevé ii: computational aspects and realization in s-plus… | 0.737 | 3 | 2 | 100% |
| 7 | S. Johansen (1995) Likelihood-based inference in cointegrated vector autoregressive models | 0.737 | 3 | 2 | 100% |
| 8 | A. Onatski and C. Wang (2019) Extreme canonical correlations and high-dimensional cointegration analysis | 0.644 | 2 | 2 | 100% |
| 9 | I. M. Johnstone, Z. Ma, P. O. Perry, and M. Shahram (2022) RMTstat: Distributions, Statistics and Tests derived from Random Matrix Theory, 2022 | 0.644 | 2 | 2 | 100% |
| 10 | R. Engle and C. Granger (1987) Co-integration and error correction: representation, estimation, and testing | 0.511 | 2 | 1 | 100% |
Showing the top 10 of 33 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Canonical correlation analysis of stochastic trends via functional approximation | 0.000 | 1 | 1 |