thr.test: Threshold Nonlinearity Test

In NTS: Nonlinear Time Series Analysis

Threshold Nonlinearity Test

Description

Threshold nonlinearity test.

Usage

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

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)

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