testSpecification: Specification tests for VAR model

In sfeuerriegel/ResearchGroupTools: Collection of Custom Helper Functions

Description

Tests VAR model regarding non-autocorrelation (Breusch-Godfrey, Portmanteau), normal distribution of residuals (Jarque-Bera) and homoskedasticity (MARCH).

Usage

testSpecification(var, lags.pt = 15, lags.bg = 5, lags.multi = 5)

Arguments

var	Estimated vector autoregressive model of type varest from the vars package.
lags.pt	An integer specifying the lags to be used for the Portmanteau statistic.
lags.bg	An integer specifying the lags to be used for the Breusch-Godfrey statistic.
lags.multi	An integer specifying the lags to be used for the multivariate ARCH-LM statistic.

Examples

library(vars)
data(Canada)
var.2c <- VAR(Canada, p = 2, type = "none")

testSpecification(var.2c)

sfeuerriegel/ResearchGroupTools documentation built on May 29, 2019, 8:01 p.m.