This function computes the CanovaHansen statistic for testing the null hypothesis of stationary seasonal cycles against the alternative of seasonal unit roots.
1 2 
wts 
a univariate time series object. 
frec 
a vector indicating the cycles to analyse. By default, all seasonal cycles are tested. 
f0 
a 01 (NoYes) 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. 
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.
An object of class chstatclass
.
Javier LopezdeLacalle javlacalle@yahoo.es and Ignacio DiazEmparanza Ignacio.DiazEmparanza@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, 237252.
1 2 3 4 5 6 7 8 9 10 11  ## 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.test(wts=AirPassengers, frec=c(1,1,1,1,1,1), f0=1, DetTr=FALSE)
ch.out1
## Test for stationary seasonal cycles at frequencies +i and i,
## including a first order lag and but not a linear trend.
ch.out2 < CH.test(wts=AirPassengers, frec=c(0,0,0,0,0,1), f0=1, DetTr=FALSE)
ch.out2

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