td.f: Trading Days Test

In palatej/rjd3modelling: Time Series Modelling Functions with 'JDemetra+ 3.0'

Trading Days Test

Description

Trading Days Test

Usage

td.f(
  s,
  model = c("D1", "DY", "DYD1", "WN", "AIRLINE", "R011", "R100"),
  nyears = 0
)

Arguments

s	a ts object that corresponds to the input time series to test.
model	the model to use for the residuals. See details.
nyears	integer that corresponds to number of periods number of periods starting from the end of the series: in periods (positive value) or years (negative values). By default (nyears = 0), the entire sample is used.

Details

The function performs a residual seasonality test that is a joint F-Test on the coefficients of trading days regressors. Several specifications can be used on the model:

• model = "WN" the following model is used:

  y_t - \bar y =β TD_t + \varepsilon_t

• model = "D1" (the default) the following model is used:

  Δ y_t - \overline{Δ y} =β Δ TD_t + \varepsilon_t

• model = "DY" the following model is used:

  Δ_s y_t - \overline{Δ_s y} =β Δ_s TD_t + \varepsilon_t

• model = "DYD1" the following model is used:

  Δ_sΔ y_t - \overline{Δ_s Δ y} =β Δ_s Δ TD_t + \varepsilon_t

• model = "AIRLINE" the following model is used:

  y_t =β TD_t + \varepsilon_t \text{ with }\varepsilon_t \sim ARIMA(0,1,1)(0,1,1)

• model = "R011" the following model is used:

  y_t =β TD_t + \varepsilon_t \text{ with }\varepsilon_t \sim ARIMA(0,1,1)(0,1,1)

• model = "R100" the following model is used:

  y_t =α_0 + α_1 y_{t-1} + β TD_t + \varepsilon_t

Examples

td.f(rjd3toolkit::ABS$X0.2.09.10.M)

palatej/rjd3modelling documentation built on Jan. 3, 2023, 10:19 p.m.