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

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.