ch-rs-pvalue: P-values for the CH test statistic

In uroot: Unit Root Tests for Seasonal Time Series

P-values for the CH test statistic

Description

Compute p-values for the Canova and Hansen (CH) test statistic based on the response surface regressions approach.

Usage

ch.rs.pvalue(x, type, lag1, S, n, nobsreg, VMdf)

Arguments

x	a numeric. The value of the CH statistic.
type	a string specifying the formulation of the test, "dummy" for seasonal dummies or "trigonometric" for seasonal cycles.
lag1	logical indicating whether a first order lag of was included in the regression model.
S	numeric, the periodicity of the data.
n	numeric, the number of observations.
nobsreg	an integer indicating the number of points employed in the response surface regression.
VMdf	numeric, the degrees of freedom of the Von Mises distribution.

Details

Ported from Gretl code provided by Díaz-Emparanza and Moral (2013).

For type="dummy", the p-value for the joint test statistic is not available.

This function is mainly intended to be used internally by ch.test.

Value

A numeric giving the calculated p-value.

References

Díaz-Emparanza, I. and Moral, M. P. (2013) Seasonal Stability Tests in gretl. An Application to International Tourism Data. Working paper: Biltoki D.T. 2013.03. URL: https://addi.ehu.es/handle/10810/10577. Gretl code: https://www.ehu.eus/ignacio.diaz-emparanza/packages/Canova_Hansen.gfn (seems unavailable, so not linked)

See Also

ch.test.

uroot documentation built on May 29, 2024, 8:11 a.m.