assess_joint_sktest.RdThis function tests the joint skewness and kurtosis for the residuals of the endogenous variables in the specified VAR model. This function uses an implementation equivalent to STATA's sktest. Of the p-levels resulting from assessing the significance of the joint sktest for the residuals of that variable, the minimum is returned.
assess_joint_sktest(varest)
| varest | A |
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This function returns a p-level.
data_matrix <- matrix(nrow = 40, ncol = 3) data_matrix[, ] <- runif(ncol(data_matrix) * nrow(data_matrix), 1, nrow(data_matrix)) colnames(data_matrix) <- c('rumination', 'happiness', 'activity') varest <- autovarCore:::run_var(data_matrix, NULL, 1) autovarCore:::assess_joint_sktest(varest)#> [1] 0.08054694