LRur.partsm-class: LRur.partsm Class

In partsm: Periodic Autoregressive Time Series Models

Description

This class contains the information provided by LRurpar.test.

Slots

test.label:

Object of class "character": A label to identify the test.

test.name:

Object of class "character": A one-line description of the test.

p:

Object of class "numeric": The lag order parameter of the model.

LR:

Object of class "numeric": The LR statistic.

LRtau:

Object of class "numeric": The one side test statistic.

h0nls:

Object of class "matrix": The estimated coefficients of the non-linear PIAR model.

halm:

Object of class "lm": The estimated PAR model for the alternative hypotheses.

Methods

show:

Shows the LR statistics and a one-side test constructed as sign(g(\hat{α}) - 1) * LR^{1/2}, where g(\hat{α}) is the product of the periodic differencing filter parameters estimated under the alternative.

summary:

Displays the same output as show but a summary of the null and the alternative hypotheses is also displayed.

Author(s)

Javier Lopez-de-Lacalle [e-mail].

References

P.H. Franses: Periodicity and Stochastic Trends in Economic Time Series (Oxford University Press, 1996).

See Also

LRurpar.test.

partsm documentation built on Nov. 25, 2020, 5:07 p.m.