assess_skewness: Tests the skewness of a VAR model

In autovarCore: Automated Vector Autoregression Models and Networks

Description

This function tests the skewness 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 skewness for the residuals of that variable, the minimum is returned.

Usage

assess_skewness(varest)

Arguments

varest

A varest model.

Value

This function returns a p-level.

Examples

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_skewness(varest)

Example output

[1] 0.04315152

autovarCore documentation built on May 2, 2019, 4:01 a.m.