tsayTest: Tsay's test

In nonlinearTseries: Nonlinear Time Series Analysis

Tsay's test

Description

Tsay's test: test for nonlinearity against the null hypothesis that the time series follows some AR process. This is a generalization of Keenan's test.

Usage

tsayTest(time.series, order)

Arguments

time.series	The original time.series.
order	Order used for the AR model.

Value

A list containing the results of the test, including:

• test.stat: the F-squared test statistic

• p.value.

• order: order of the AR process used for testing.

References

Tsay, R. S. (1986), Nonlinearity test for time series, Biometrika, 73, 461-466.

See Also

nonlinearityTest, keenanTest, mcleodLiTest,thresholdTest

nonlinearTseries documentation built on March 31, 2022, 1:07 a.m.