td_canovahansen: Canova-Hansen test for stable trading days

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

Canova-Hansen test for stable trading days

Description

Canova-Hansen test for stable trading days

Usage

td_canovahansen(
  s,
  differencing,
  kernel = c("Bartlett", "Square", "Welch", "Tukey", "Hamming", "Parzen"),
  order = NA
)

Arguments

s	a ts object that corresponds to the input time series to test.
differencing	Differencing lags.
kernel	Kernel used to compute the robust covariance matrix.
order	The truncation parameter used to compute the robust covariance matrix.

Value

list with the ftest on td, the joint test and the details for the stability of the different days (starting with Mondays).

Examples

s <- log(ABS$X0.2.20.10.M)
td_canovahansen(s, c(1, 12))

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