CH.rectest: Canova-Hansen Recursive Test
In uroot: Unit Root Tests and Graphics for Seasonal Time Series

Description Usage Arguments Details Value Author(s) References See Also Examples

This function computes the Canova-Hansen statistic recursively along subsamples of the original data.

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    CH.rectest (wts, type="moving", nsub=48, frec=NULL, f0=1, DetTr=FALSE, ltrunc=NULL, trace=list(remain=1,
      plot=0, elaps=1))

`wts`	a univariate time series object.
`type`	a character string indicating how subsamples are selected. See details.
`nsub`	the number of observations in each subsample.
`frec`	a vector indicating the frequencies to analyse.
`f0`	a 0-1 (No-Yes) vector of length one indicating wether a first lag of the dependent variable is included or not in the auxiliar regression. See details.
`DetTr`	a logical argument. If TRUE a linear trend is included in the auxiliar regression.
`ltrunc`	lag truncation parameter for computing the residuals covariance matrix. By default, round(s(N/100)^0.25)*, where s is the periodicity of the data and N the number of observations.
`trace`	a list object indicating if a trace of the iteration progress should be printed. Three levels of information can be printed: `remain`, the percentage of the whole procedure that has been completed; `plot`, a plot of the computed statistics; and `elaps`, how much time the whole procedure has consumed.

Elements of frec must be set equal to 0 if the season assigned to this element is not considered and equals to 1 for the frequencies to analyse. The position of each frequency in the vector is as follows: c(pi/2, pi) for quarterly series and c(pi/6, pi/3, pi/2, 2pi/3, 5pi/6, pi) for monthly series.

Rejection of the null hypothesis implies that the analysed cycles are non-stationary.

Three types of subsamples are considered: "backw", the statistic is computed for the last nsub observations and then one year backwards is added until the beginning of the sample; "forw", the statistic is computed for the first nsub observations and then one year forwards is added until the end of the sample; "moving", the statistic is computed over moving subsamples of length nsub.

An object of class chrecst-class.

Javier Lopez-de-Lacalle javlacalle@yahoo.es and Ignacio Diaz-Emparanza Ignacio.Diaz-Emparanza@ehu.es.

F. Canova and B.E. Hansen (1995), Are seasonal patterns constant over time? A test for seasonal stability. Journal of Business and Economic Statistics, 13, 237-252.

CH.test.

    ## CH test
    data(AirPassengers)
    ## Test for stationary cycles at all seasonal frequencies,
    ## including a first order lag and but not a linear trend.
    ch.out1 <- CH.rectest(wts=AirPassengers, type="backw", nsub=48,
                          frec=c(1,1,1,1,1,1), f0=1, DetTr=FALSE)
    show(ch.out1)
    plot(ch.out1)