A variant of vars::stability(). Warning: this function has not been tested for small sample sizes yet.
stability_sh(x, type = c("OLS-CUSUM", "Rec-CUSUM", "Rec-MOSUM", "OLS-MOSUM", "RE", "ME", "Score-CUSUM", "Score-MOSUM", "fluctuation"), h = 0.15, dynamic = FALSE, rescale = TRUE, ...)
An object of class "varshrinkest"
Other arguments to strucchange::efp()
stability
# NOT RUN { data(Canada, package = "vars") y <- diff(Canada) estim <- VARshrink(y, p = 2, type = "const", method = "ridge") stability_sh(estim) # }
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