Tests the kurtosis of a VAR model

Description

This function tests the kurtosis for the residuals of the endogenous variables in the specified VAR model. This function uses an implementation equivalent to STATA's sktest. Of the p-levels resulting from assessing the significance of the kurtosis for the residuals of that variable, the minimum is returned.

Usage

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Arguments

varest

A varest model.

Value

This function returns a p-level.

Examples

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data_matrix <- matrix(nrow = 40, ncol = 3)
data_matrix[, ] <- runif(ncol(data_matrix) * nrow(data_matrix), 1, nrow(data_matrix))
colnames(data_matrix) <- c('rumination', 'happiness', 'activity')
varest <- autovarCore:::run_var(data_matrix, NULL, 1)
autovarCore:::assess_kurtosis(varest)

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