VARshrink (version 0.3.3)

serial.test_sh: Test for serially correlated errors

Description

Computes the multivariate Portmanteau- and Breusch-Godfrey test for serially correlated erros.

Usage

serial.test_sh(
  x,
  lags.pt = 16,
  lags.bg = 5,
  type = c("PT.asymptotic", "PT.adjusted", "BG", "ES")
)

Value

An object of class "varcheck" computed by vars::serial.test().

Arguments

x

An object of class "varshrinkest" obtained by VARshrink().

lags.pt, lags.bg, type

Other arguments for vars::serial.test().

Details

An extension of vars::serial.test() to the class "varshrinkest".

See Also

serial.test

Examples

data(Canada, package = "vars")
y <- diff(Canada)
estim <- VARshrink(y, p = 2, type = "const", method = "ridge")
serial.test_sh(estim)