Terasvirta1994test {NonlinearTSA} | R Documentation |
This function allows you to make Terasvirta (1994) nonlinearity test
Terasvirta1994test(x, d, maxp)
x |
series name, |
d |
delay parameter, |
maxp |
maximum p |
"Linearity" the value of the test statistic and the probability of the test statistic
"H01" the value of the test statistic and the probability of the test statistic
"H02" the value of the test statistic and the probability of the test statistic
"H03" the value of the test statistic and the probability of the test statistic
"H12" the value of the test statistic and the probability of the test statistic
Teräsvirta, T. (1994). Specification, estimation, and evaluation of smooth transition autoregressive models. Journal of the american Statistical association, 89(425), 208-218.
Burak Guris, R Uygulamalı Dogrusal Olmayan Zaman Serileri Analizi, DER Yayinevi, 2020.
x <- rnorm(1000)
Terasvirta1994test(x, 3, 4)
data(IBM)
Terasvirta1994test(IBM, 4, 4)