thr.test: Threshold Nonlinearity Test

In ConvFuncTimeSeries/test_t: Nonlinear time series analysis

Description

Threshold nonlinearity test.

Usage

thr.test(y, p = 1, d = 1, thrV = NULL, ini = 40,
  include.mean = T)

Arguments

y	a time seris.
p	AR order.
d	delay for the threhosld variable.
thrV	threshold variable.
ini	inital number of data to start RLS estimation.
include.mean	a logical value for including constant terms.

Value

thr.test returns a list with components:

F-ratio	F statistic.
df	the numerator and denominator degrees of freedom.
ini	initial number of data to start RLS estimation.

References

Tsay, R. (1989) Testing and Modeling Threshold Autoregressive Processes. Journal of the American Statistical Associations 84(405), 231-240.

Examples

arorder=rep(1,2)
ar.coef=matrix(c(0.7,-0.8),2,1)
y=uTAR.sim(100,arorder,ar.coef,1,0)
thr.test(y$series,1,1,y$series,40,TRUE)

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