CH.test: Canova-Hansen 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 for testing the null hypothesis of stationary seasonal cycles against the alternative of seasonal unit roots.

1 2	CH.test (wts, frec=NULL, f0=1, DetTr=FALSE, ltrunc=NULL)

`wts`	a univariate time series object.
`frec`	a vector indicating the cycles to analyse. By default, all seasonal cycles are tested.
`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.

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 chstat-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.rectest.

    ## 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