Tests the skewness of a VAR model

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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

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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_skewness(varest)

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