seasonal.test: The Seasonal unit root tests function

In nortsTest: Assessing Normality of Stationary Process

Description

Perform a seasonal unit root test to check seasonality in a linear stochastic process

Usage

seasonal.test(y,seasonal = c("ocsb","ch","hegy"),alpha = 0.05)

Arguments

y	a numeric vector or an object of the ts class containing a stationary time series.
seasonal	A character string naming the desired seasonal unit root test for checking seasonality. Valid values are "ocsb" for the Osborn, Chui, Smith, and Birchenhall, "ch" for the Canova and Hansen, and "hegy" for Hylleberg, Engle, Granger, and Yoo. The default value is "ocsb" for the Osborn, Chui, Smith, and Birchenhall test.
alpha	Level of the test, possible values range from 0.01 to 0.1. By default alpha = 0.05 is used

Details

Several different tests are available: In the kpss test, the null hypothesis that y has a stationary root against a unit-root alternative. In the two remaining tests, the null hypothesis is that y has a unit root against a stationary root alternative. By default, alpha = 0.05 is used to select the more likely hypothesis.

Value

a h.test class with the main results of unit root hypothesis test.

Author(s)

Asael Alonzo Matamoros

References

Osborn, D., Chui, A., Smith, J., & Birchenhall, C. (1988). Seasonality and the order of integration for consumption. Oxford Bulletin of Economics and Statistics. 50(4), 361-377.

Canova, F. & Hansen, B. (1995). Are Seasonal Patterns Constant over Time? A Test for Seasonal Stability. Journal of Business and Economic Statistics. 13(3), 237-252.

Hylleberg, S., Engle, R., Granger, C. & Yoo, B. (1990). Seasonal integration and cointegration. Journal of Econometrics 44(1), 215-238.

See Also

normal.test,uroot.test

Examples

#  stationary  ar process
y = ts(rnorm(100),frequency = 6)
seasonal.test(y)

nortsTest documentation built on Aug. 16, 2021, 5:06 p.m.