This repository provides R codes for the paper "Determination of Vector Error Correction Models in High Dimensions" by C. Liang and M. Schienle.

"ndim20.R" provides the main code of data-generating and model estimation for 20 dimensional case. 

"t50d20.R" and "t50d200.R" provide the code for 50-dimensional model. 

"wddim20.R" is for the 20-dimensional model with weakly dependent errors. 

"lp1.R" contains the code implementing the simulated model used in Liao and Phillips (2015, ET).