serial.test_sh {VARshrink}

Test for serially correlated errors for VAR shrinkage estimate

Description

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

Usage

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

Arguments

x

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

lags.pt, lags.bg, type

Other arguments for vars::serial.test(). see help(serial.test) for details.

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)