Canada <- Canada[, c("prod", "e", "U", "rw")] p1ct <- VAR(Canada, p = 1, type = "both") p2ct <- VAR(Canada, p = 2, type = "both") p3ct <- VAR(Canada, p = 3, type = "both") ## Serial serial.test(p3ct, lags.pt = 16, type = "PT.asymptotic") serial.test(p2ct, lags.pt = 16, type = "PT.asymptotic") serial.test(p1ct, lags.pt = 16, type = "PT.asymptotic") serial.test(p3ct, lags.pt = 16, type = "PT.adjusted") serial.test(p2ct, lags.pt = 16, type = "PT.adjusted") serial.test(p1ct, lags.pt = 16, type = "PT.adjusted") ## JB normality.test(p3ct) normality.test(p2ct) normality.test(p1ct) ## ARCH arch.test(p3ct, lags.multi = 5) arch.test(p2ct, lags.multi = 5) arch.test(p1ct, lags.multi = 5) ## Stability (Recursive CUSUM) plot(stability(p3ct), nc = 2) plot(stability(p2ct), nc = 2) plot(stability(p1ct), nc = 2)