normality.test_sh: Normality, multivariate skewness and kurtosis test

In VARshrink: Shrinkage Estimation Methods for Vector Autoregressive Models

Description

This function computes univariate and multivariate Jarque-Bera tests and multivariate skewness and kurtosis tests for the residuals of a VAR(p) or of a VECM in levels. This is a modification of vars::normality.test() for the class "varshrinkest".

Usage

normality.test_sh(x, multivariate.only = TRUE)

Arguments

x	An object of class "varshrinkest" obtained by VARshrink().
multivariate.only	If TRUE, only the multivariate statistics is computed.

See Also

normality.test

Examples

data(Canada, package = "vars")
y <- diff(Canada)
estim <- VARshrink(y, p = 2, type = "const", method = "ridge")
normality.test_sh(estim)

VARshrink documentation built on Oct. 9, 2019, 5:06 p.m.