Description Usage Arguments Details Value References Examples
a function to test the permissibility of the linear autoregressive model:
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x |
A time series (vector without missing values). |
order |
a scalar representing the order to be considered. |
N(t) = a0 + a1N(t-1) + a2N(t-2) + ... + adN(t-d) + e(t )
against the alternative:
Nt = F(N(t-1), N(t-2), ..., N(t-d)) + e(t)
This is the Tukey one-degree-of-freedom test of linearity developed by Tsay (1986). Orders up to 5 is permissible. [although the code is easily extended].
A vector is returned consisting of the asymtpotic F-value, the associated numerator and denominator d.f.'s and asymptotic p.val for the test of linearity
Tsay, R.S. (1986) Nonlinearity tests for time series. Biometrika, 73, 461-466. https://doi.org/10.1093/biomet/73.2.461
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