This function tests the homeskedasticity assumption for the residuals of the endogenous variables in the specified VAR model. This function implements the portmanteau squared test known as the Ljung-Box test, and results are comparable with STATA's wntestq. Of the p-levels resulting from assessing the homeskedasticity assumption for the squared residuals of that variable, the minimum is returned.

assess_portmanteau_squared(varest)

## Arguments

varest A varest model.

## Value

This function returns a p-level.

## Examples

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_portmanteau_squared(varest)#> [1] 0.2338076