normality.test_sh: Normality, multivariate skewness and kurtosis test
Description
This function computes univariate and multivariate Jarque-Bera tests and
multivariate skewness and kurtosis tests for the residuals of a VAR(p)
or of a VECM in levels.
This is a modification of vars::normality.test() for
the class "varshrinkest".
Usage
normality.test_sh(x, multivariate.only = TRUE)
Arguments
x
An object of class "varshrinkest" obtained by VARshrink().
multivariate.only
If TRUE, only the multivariate statistics
is computed.
# NOT RUN {data(Canada, package = "vars")
y <- diff(Canada)
estim <- VARshrink(y, p = 2, type = "const", method = "ridge")
normality.test_sh(estim)
# }