assess_portmanteau_squared: Tests the homeskedasticity assumption for a VAR model using a...
In autovarCore: Automated Vector Autoregression Models and Networks

Description Usage Arguments Value Examples

This function tests the homeskedasticity assumption for the residuals of the endogenous variables in the specified VAR model. This function implements the portmanteau squared test known as the Ljung-Box test, and results are comparable with STATA's wntestq. Of the p-levels resulting from assessing the homeskedasticity assumption for the squared residuals of that variable, the minimum is returned.

1	assess_portmanteau_squared(varest)

varest

A varest model.

This function returns a p-level.

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_portmanteau_squared(varest)