F.test: F Test for Nonlinearity

In NTS: Nonlinear Time Series Analysis

F Test for Nonlinearity

Description

Compute the F-test statistic for nonlinearity

Usage

F.test(x, order, thres = 0)

Arguments

x	time series.
order	AR order.
thres	threshold value.

Value

The function outputs the test statistic and its p-value, and return a list with components:

test.stat	test statistic.
p.value	p-value.
order	AR order.

Examples

y=rnorm(100)
F.test(y,2,0)

NTS documentation built on Sept. 25, 2023, 1:08 a.m.