td_timevarying: Likelihood ratio test on time varying trading days
In palatej/rjd3toolkit: Utility Functions around 'JDemetra+ 3.0'
td_timevarying R Documentation
Likelihood ratio test on time varying trading days
Description
Likelihood ratio test on time varying trading days
Usage
td_timevarying(s, groups = c(1, 2, 3, 4, 5, 6, 0), contrasts = FALSE)
Arguments
s
The tested time series
groups
The groups of days used to generate the regression variables.
contrasts
The covariance matrix of the multivariate random walk model
used for the time-varying coefficients are related to the contrasts if TRUE,
on the actual number of days (all the days are driven by the same variance) if FALSE.
Value
A Chi2 test
Examples
s <- log(ABS$X0.2.20.10.M)
td_timevarying(s)
palatej/rjd3toolkit documentation built on Oct. 30, 2024, 10:46 p.m.
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| td_timevarying | R Documentation |
Likelihood ratio test on time varying trading days
Description
Likelihood ratio test on time varying trading days
Usage
td_timevarying(s, groups = c(1, 2, 3, 4, 5, 6, 0), contrasts = FALSE)
Arguments
s |
The tested time series |
groups |
The groups of days used to generate the regression variables. |
contrasts |
The covariance matrix of the multivariate random walk model used for the time-varying coefficients are related to the contrasts if TRUE, on the actual number of days (all the days are driven by the same variance) if FALSE. |
Value
A Chi2 test
Examples
s <- log(ABS$X0.2.20.10.M)
td_timevarying(s)
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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