seasonality_canovahansen: Canova-Hansen seasonality test

In palatej/rjd3toolkit: Utility Functions around 'JDemetra+ 3.0'

Canova-Hansen seasonality test

Description

Canova-Hansen seasonality test

Usage

seasonality_canovahansen(
  data,
  period,
  type = c("Contrast", "Dummy", "Trigonometric"),
  lag1 = TRUE,
  kernel = c("Bartlett", "Square", "Welch", "Tukey", "Hamming", "Parzen"),
  order = NA,
  start = 1
)

Arguments

data	the input data.
period	Tested periodicity. Can be missing if the input is a time series
type	Trigonometric variables, seasonal dummies or seasonal contrasts.
lag1	Lagged variable in the regression model.
kernel	Kernel used to compute the robust Newey-West covariance matrix.
order	The truncation parameter used to compute the robust Newey-West covariance matrix.
start	Position of the first observation of the series

Value

list with the FTest on seasonal variables, the joint test and the details for the stability of the different seasonal variables

Examples

s <- log(ABS$X0.2.20.10.M)
seasonality_canovahansen(s, 12, type = "Contrast")
seasonality_canovahansen(s, 12, type = "Trigonometric")

palatej/rjd3toolkit documentation built on Oct. 30, 2024, 10:46 p.m.