The Lagrange multiplier test for additivity in a timeseries
add.test is a function to test the permissibility of the additive autoregressive model:
N(t) = f1(N(t-1)) + f2(N(t-2)) + ... + fd(N(t-d)) + e(t )
against the alternative:
N(t) = F(N(t-1), N(t-2), ..., N(t-d)) + e(t)
A time series (vector without missing values).
a scalar representing the order to be considered.
The number of observation to condition on.
The default is
This is the Lagrange multiplier test for additivity developed by Chen et al. (1995: test II).
The function requires the
a vector is returned consisting of the asymtpotic chi-square value, the associated d.f. and asymptotic p.val for the test of additivity.
Ottar N. Bjornstad email@example.com
Chen, R., Liu, J.S. & Tsay, R.S. (1995) Additivity tests for nonlinear autoregression. Biometrika, 82, 369-383.
Bjornstad, O.N., Begon, M., Stenseth, N.C., Falck, W., Sait, S.M., & Thompson, D.J. (1998) Population dynamics of the Indian meal moth: demographic stochasticity and delayed regulatory mechanisms. Journal of Animal Ecology, 67, 110-126.
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