Keenan.test: Keenan's one-degree test for nonlinearity

Description Usage Arguments Details Value Author(s) References See Also Examples

View source: R/Keenan.test.R

Description

Carry out Keenan's 1-degree test for nonlinearity against the null hypothesis that the time series follows some AR process.

Usage

1

Arguments

x

time series

order

working AR order; if missing, it is estimated by minimizing AIC via the ar function.

...

user-supplied options to the ar function.

Details

The test is designed to have optimal local power against depature from the linear autoregressive function in the direction of the square of the linear autoregressive function.

Value

A list containing the following components

test.stat

The observed test statistic

p.value

p-value of the test

order

working AR order

Author(s)

Kung-Sik Chan

References

Keenan, D. M. (1985), A Tukey nonadditivity-type test for time series Nonlinearity, Biometrika, 72, 39-44.

See Also

Tsay.test,tlrt

Examples

1
2

Example output

Loading required package: leaps
Loading required package: locfit
locfit 1.5-9.1 	 2013-03-22
Loading required package: mgcv
Loading required package: nlme
This is mgcv 1.8-20. For overview type 'help("mgcv-package")'.
Loading required package: tseries

Attaching package: 'TSA'

The following objects are masked from 'package:stats':

    acf, arima

The following object is masked from 'package:utils':

    tar

$test.stat
[1] 16.27889

$p.value
[1] 0.0001911324

$order
[1] 5

TSA documentation built on July 2, 2018, 1:04 a.m.