stability_sh: Stability function

In VARshrink: Shrinkage Estimation Methods for Vector Autoregressive Models

Description

A variant of vars::stability(). Warning: this function has not been tested for small sample sizes yet.

Usage

stability_sh(x, type = c("OLS-CUSUM", "Rec-CUSUM", "Rec-MOSUM",
  "OLS-MOSUM", "RE", "ME", "Score-CUSUM", "Score-MOSUM", "fluctuation"),
  h = 0.15, dynamic = FALSE, rescale = TRUE, ...)

Arguments

x	An object of class "varshrinkest"
type, h, dynamic, rescale, ...	Other arguments to strucchange::efp()

See Also

stability

Examples

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

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