Description Usage Arguments Value Examples
This function creates plot of computed test statistic with ability to add critical values as a red line
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VARCP |
A list of class "VARCP" |
a |
Level of significance for which critical values are computed |
... |
Additional graphical arguments |
Displays a plot with automaticaly computed critical values
1 2 3 4 5 6 7 8 9 10 11 12 | ## Simulation of time series of length 200
phi <- matrix(c(0.2,-0.6,0.3,1),2,2)
sig <- matrix(c(4,0.8,0.8,1),2,2)
data <- VARMAsim(200, arlags = 1, phi = phi, sigma = sig)
model <- VAR(data[["series"]], p = 1)
## Test estimation
CUSUM <- statcomp(model, type = "CUSUM")
Visualizing computed test statistic
plot(CUSUM, a = 0.1)
plot(CUSUM, a = 0.05)
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