diagnostics_plot function

Creates a Diagnostic Plot

diagnostics_plot(mod, variable = 1, dates = NULL)

Arguments

• mod: VAR model estimated using sparseVAR, sparseVARMA, or sparseVARX
• variable: Variable to show. Either numeric (which column) or character (variable name)
• dates: Optional Date vector.

Returns

Returns a ggplot2 plot

Examples

# VAR example
dat <- simVAR(periods=200, k=2, p=5, decay = 0.1, seed = 6150533,
                       sparsity_pattern = "hvar")
mod <- sparseVAR(Y=scale(dat$Y), selection = "bic", h = 1)
diagnostics_plot(mod, variable = 1) # Plotting the first variable
## Not run:

# VARMA example
data(varma.example)
varma <- sparseVARMA(Y=scale(Y.varma), VARMAselection="cv")
diagnostics_plot(varma, variable = 2) # Plotting the second variable
## End(Not run)

## Not run:

# VARX example
data(varx.example)
varx <- sparseVARX(Y=scale(Y.varx), X=scale(X.varx), selection="cv")
diagnostics_plot(varx, variable = 1) # Plotting the first variable
## End(Not run)