co.wge: Cochrane-Orcutt test for trend

In tswge: Time Series for Data Science

Cochrane-Orcutt test for trend

Description

Performs the Cochrane-Orcutt to test for a linear trend in a time series realization.)

Usage

co.wge(x,maxp=5)

Arguments

x	Realization
maxp	Maximum AR order allowed for AR model fit to residuals from least squares line

Value

z	Residuals from the fitted line
b0hat	Estimated y-intercept of the fitted line using the CO method
b1hat	Estimated slope of the fitted line using the CO method
z.order	Order, p, fit to the residuals
z.phi	Coefficients of the AR model fit to the residuals
pvalue	P-value of the CO test for the significance of the slope
tco	Cochrane-Orcutt test statistic.

Author(s)

Wayne Woodward

References

"Applied Time Series Analysis with R, 2nd edition" by Woodward, Gray, and Elliott

Examples

data(global.temp)
          co.wge(global.temp,maxp=5)

tswge documentation built on Feb. 16, 2023, 6:51 p.m.