seasonality_canovahansen_trigs: Canova-Hansen test using trigonometric variables

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

Canova-Hansen test using trigonometric variables

Description

Canova-Hansen test using trigonometric variables

Usage

seasonality_canovahansen_trigs(
  data,
  periods,
  lag1 = TRUE,
  kernel = c("Bartlett", "Square", "Welch", "Tukey", "Hamming", "Parzen"),
  order = NA,
  original = FALSE
)

Arguments

data	the input data.
periods	Periodicities.
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.
original	TRUE for original algorithm, FALSE for solution proposed by T. Proietti (based on Ox code).

Examples

s <- log(ABS$X0.2.20.10.M)
freqs <- seq(0.01, 0.5, 0.001)
plot(seasonality_canovahansen_trigs(s, 1 / freqs, original = FALSE), type = "l")

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