Tsay: Tsay Test for Nonlinearity

Description Usage Arguments Value References Examples

Description

Perform Tsay (1986) nonlinearity test.

Usage

1
Tsay(y, p = 1)

Arguments

y

time series.

p

AR order.

Value

The function outputs the F statistic, p value, and the degrees of freedom. The null hypothsis is there is no nonlinearity.

References

Tsay, R. (1986) Nonlinearity tests for time series. Biometrika 73(2), 461-466.

Examples

1
2
y=MSM.sim(100,c(1,1),0.7,-0.5,c(0.5,0.6),c(1,1),c(0,0),500)
Tsay(y$series,1)

ConvFuncTimeSeries/test_t documentation built on May 29, 2019, 1:39 p.m.