Terasvirta1994test: Terasvirta (1994) nonlinearity test

In NonlinearTSA: Nonlinear Time Series Analysis

Description

This function allows you to make Terasvirta (1994) nonlinearity test

Usage

Terasvirta1994test(x, d, maxp)

Arguments

x	series name,
d	delay parameter,
maxp	maximum p

Value

"Linearity" the value of the test statistic and the probability of the test statistic

"H01" the value of the test statistic and the probability of the test statistic

"H02" the value of the test statistic and the probability of the test statistic

"H03" the value of the test statistic and the probability of the test statistic

"H12" the value of the test statistic and the probability of the test statistic

References

Teräsvirta, T. (1994). Specification, estimation, and evaluation of smooth transition autoregressive models. Journal of the american Statistical association, 89(425), 208-218.

Burak Guris, R Uygulamalı Dogrusal Olmayan Zaman Serileri Analizi, DER Yayinevi, 2020.

Examples

x <- rnorm(1000)
Terasvirta1994test(x, 3, 4)


data(IBM)
Terasvirta1994test(IBM, 4, 4)

NonlinearTSA documentation built on Jan. 23, 2021, 5:05 p.m.