signbias_test: Sign Bias Test

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

Sign Bias Test

Description

The sign bias test of Engle and Ng (1993).

Usage

signbias_test(x, sigma = 1, ...)

Arguments

x	a series representing the residuals of some estimated model.
sigma	either a scalar representing the residuals standard deviation else a vector of the same length as x representing the conditional standard deviation of the residuals.
...	additional arguments passed to linearHypothesis, except the “test” which is fixed to use the Chisq test.

Value

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

References

\insertRef

Engleng1993tstests

Examples

library(tsgarch)
library(tsdistributions)
library(xts)
data("spy")
spyr <- na.omit(diff(log(spy)))
spec <- garch_modelspec(spyr, model = "garch", order = c(1,1),
constant = TRUE, distribution = "jsu")
mod <- estimate(spec)
print(signbias_test(residuals(mod), sigma(mod)))

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