thr.test: Threshold Nonlinearity Test

Description Usage Arguments Value References Examples

Description

Threshold nonlinearity test.

Usage

1
thr.test(y, p = 1, d = 1, thrV = NULL, ini = 40, include.mean = T)

Arguments

y

a time series.

p

AR order.

d

delay for the threshold variable.

thrV

threshold variable.

ini

initial number of data to start RLS estimation.

include.mean

a logical value for including constant terms.

Value

thr.test returns a list with components:

F-ratio

F statistic.

df

the numerator and denominator degrees of freedom.

ini

initial number of data to start RLS estimation.

References

Tsay, R. (1989) Testing and Modeling Threshold Autoregressive Processes. Journal of the American Statistical Associations 84(405), 231-240.

Examples

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2
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phi=t(matrix(c(-0.3, 0.5,0.6,-0.3),2,2))
y=uTAR.sim(nob=2000, arorder=c(2,2), phi=phi, d=2, thr=0.2, cnst=c(1,-1),sigma=c(1, 1))
thr.test(y$series,p=2,d=2,ini=40,include.mean=TRUE)

Example output

SETAR model is entertained 
Threshold nonlinearity test for (p,d):  2 2 
F-ratio and p-value:  252.8815 1.173414e-138 

NTS documentation built on Aug. 6, 2020, 5:08 p.m.

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