serial.test_sh: Test for serially correlated errors for VAR shrinkage...
In VARshrink: Shrinkage Estimation Methods for Vector Autoregressive Models

An extension of vars::serial.test() to the class "varshrinkest".

1 2	serial.test_sh(x, lags.pt = 16, lags.bg = 5, type = c("PT.asymptotic", "PT.adjusted", "BG", "ES"))

`x`	An object of class "varshrinkest" obtained by VARshrink().
`lags.pt, lags.bg, type`	Other arguments for vars::serial.test(). see help(serial.test) for details.

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

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

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