TVAR.LRtest: Test of linearity

In tsDyn: Nonlinear Time Series Models with Regime Switching

Test of linearity

Description

Multivariate extension of the linearity against threshold test from Hansen (1999) with bootstrap distribution

Usage

TVAR.LRtest(
  data,
  lag = 1,
  trend = TRUE,
  series,
  thDelay = 1:m,
  mTh = 1,
  thVar,
  nboot = 10,
  plot = FALSE,
  trim = 0.1,
  test = c("1vs", "2vs3"),
  model = c("TAR", "MTAR"),
  hpc = c("none", "foreach"),
  trace = FALSE,
  check = FALSE
)

Arguments

data	multivariate time series
lag	Number of lags to include in each regime
trend	whether a trend should be added
series	name of the series
thDelay	'time delay' for the threshold variable (as multiple of embedding time delay d) PLEASE NOTE that the notation is currently different to univariate models in tsDyn. The left side variable is taken at time t, and not t+1 as in univariate cases.
mTh	combination of variables with same lag order for the transition variable. Either a single value (indicating which variable to take) or a combination
thVar	external transition variable
nboot	Number of bootstrap replications
plot	Whether a plot showing the results of the grid search should be printed
trim	trimming parameter indicating the minimal percentage of observations in each regime
test	Type of usual and alternative hypothesis. See details
model	Whether the threshold variable is taken in level (TAR) or difference (MTAR)
hpc	Possibility to run the bootstrap on parallel core. See details in TVECM.HStest
trace	should additional infos be printed? (logical)
check	Possibility to check the function by no sampling: the test value should be the same as in the original data

Details

This test is just the multivariate extension proposed by Lo and Zivot of the linearity test of Hansen (1999). As in univariate case, estimation of the first threshold parameter is made with CLS, for the second threshold a conditional search with one iteration is made. Instead of a Ftest comparing the SSR for the univariate case, a Likelihood Ratio (LR) test comparing the covariance matrix of each model is computed.

LR_{ij}=T( ln(\det \hat Σ_{i}) -ln(\det \hat Σ_{j}))

where \hat Σ_{i} is the estimated covariance matrix of the model with i regimes (and so i-1 thresholds).

Three test are available. The both first can be seen as linearity test, whereas the third can be seen as a specification test: once the 1vs2 or/and 1vs3 rejected the linearity and henceforth accepted the presence of a threshold, is a model with one or two thresholds preferable?

Test 1vs2: Linear VAR versus 1 threshold TVAR

Test 1vs3: Linear VAR versus 2 threshold2 TVAR

Test 2vs3: 1 threshold TAR versus 2 threshold2 TAR

The both first are computed together and available with test="1vs". The third test is available with test="2vs3".

The homoskedastik bootstrap distribution is based on resampling the residuals from H0 model, estimating the threshold parameter and then computing the Ftest, so it involves many computations and is pretty slow.

Value

A list containing:

-The values of each LR test

-The bootstrap Pvalues and critical values for the test selected

Author(s)

Matthieu Stigler

References

Hansen (1999) Testing for linearity, Journal of Economic Surveys, Volume 13, Number 5, December 1999 , pp. 551-576(26) available at: http://www.ssc.wisc.edu/~bhansen/papers/cv.htm

Lo and Zivot (2001) "Threshold Cointegration and Nonlinear Adjustment to the Law of One Price," Macroeconomic Dynamics, Cambridge University Press, vol. 5(4), pages 533-76, September.

See Also

setarTest for the univariate version. OlsTVAR for estimation of the model.

Examples

data(zeroyld)
data<-zeroyld

TVAR.LRtest(data, lag=2, mTh=1,thDelay=1:2, nboot=3, plot=FALSE, trim=0.1, test="1vs")

tsDyn documentation built on Feb. 16, 2023, 6:57 p.m.