td_f: Residual Trading Days Test

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

Residual Trading Days Test

Description

Residual 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 the length of the sub series, starting from the end of the series, to be used for the test: in number of 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 =\beta TD_t + \varepsilon_t

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

  \Delta y_t - \overline{\Delta y} =\beta \Delta TD_t + \varepsilon_t

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

  \Delta_s y_t - \overline{\Delta_s y} =\beta \Delta_s TD_t + \varepsilon_t

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

  \Delta_s\Delta y_t - \overline{\Delta_s \Delta y} =\beta \Delta_s \Delta TD_t + \varepsilon_t

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

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

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

  y_t =\alpha_0 + \alpha_1 y_{t-1} + \beta TD_t + \varepsilon_t

Examples

td_f(ABS$X0.2.09.10.M)

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