The Lagrange multiplier test for additivity in a timeseries

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Description

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)

Usage

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    add.test(x, order, n.cond = FALSE)
    

Arguments

x

A time series (vector without missing values).

order

a scalar representing the order to be considered.

n.cond

The number of observation to condition on. The default is order (must be >= order)

.

Details

This is the Lagrange multiplier test for additivity developed by Chen et al. (1995: test II).

The function requires the acepack-library.

Value

a vector is returned consisting of the asymtpotic chi-square value, the associated d.f. and asymptotic p.val for the test of additivity.

Author(s)

Ottar N. Bjornstad onb1@psu.edu

References

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.

Examples

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