Feature request: serial correlation test for VAR residuals
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Description
I am working with VAR models based on Forecasting: Principles and Practice. I switched to the third edition because the tidyverse fable integration is very intuitive. However I could not find an alternative to the vars::serial.test() function that works with fable VAR models. The fable::breusch_godfrey test seems to only work with TSLM models. Is there an easy way to perform a serial correlation test on fable VAR models? If I extract the residuals from the fable VAR model, is there a function you know of, that can perform the test on this tbl of residuals?
Many thanks,
Felix
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Research direction
Start by reviewing fable VAR models, the existing fable::breusch_godfrey test, and how residuals are represented in a residuals tbl. Compare the expected behavior with vars::serial.test and define a supported serial-correlation test for VAR residuals, including validation against representative VAR models.
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Assessment
- Tech stack
- r
- Domain
- data
- Issue type
- Feature
- Difficulty
- 4/5
- Estimated time
- 3-5 days
- Activity status
- Stale
- Clarity
- Needs clarification
- Newbie friendliness
- 30/100