nyblom_test: Nyblom-Hansen Parameter Constancy Test

In tstests: Time Series Goodness of Fit and Forecast Evaluation Tests

Nyblom-Hansen Parameter Constancy Test

Description

The parameter constancy test of Nyblom (1989).

Usage

nyblom_test(
  x,
  scores = NULL,
  parameter_names = colnames(scores),
  parameter_symbols = NULL,
  ...
)

Arguments

x	a series representing the standardized residuals of some estimated model.
scores	the log likelihood score matrix. The estfun method if exported by a package for a model will return this matrix.
parameter_names	optional character vector of the parameter names. Usually read off the column names of the score matrix.
parameter_symbols	an optional character vector of the latex names of the parameters which can be used when printing using the flextable format.
...	not currently used.

Details

The p-values for the test statistic are based on a pre-computed density, by simulation using equation 3.3 of Nyblom (1989), with up to 40 parameters and saved as an internal data object within the package. A kernel density is used to fit the 10,000 samples of the distribution before extracting the p-values. The original simulation generated more than 100,000 data points but these were compressed to quantiles at intervals of 0.001 in order to keep the package size under 5MB.

Value

An object of class “tstest.nyblom” which has a print and as_flextable method.

References

\insertRef

Nyblom1989tstests

Examples

library(tsgarch)
library(xts)
data("spy")
spyr <- na.omit(diff(log(spy)))
spec <- garch_modelspec(spyr[1:1200], model = "garch", order = c(1,1),
constant = TRUE, distribution = "norm")
mod <- estimate(spec)
test <- nyblom_test(residuals(mod, standardize = TRUE), scores = estfun(mod),
parameter_names = names(coef(mod)),
parameter_symbols = mod$parmatrix[estimate == 1]$symbol)
print(test)

tstests documentation built on Oct. 30, 2024, 9:28 a.m.