LRur.partsm {partsm}R Documentation

LRur.partsm Class

Description

This class contains the information provided by LRurpar.test.

Slots

test.label:
Object of class "character": A label to identify the test.
test.name:
Object of class "character": A one-line descriptio of the test.
p:
Object of class "numeric": The lag order parameter of the model.
LR:
Object of class "numeric": The LR statistic.
LRtau:
Object of class "numeric": The one side test statistic.
h0nls:
Object of class "matrix": The estimated coefficients of the non-linear PIAR model.
halm:
Object of class "lm": The estimated PAR model for the alternative hypotheses.

Methods

show:
Shows the LR statistics and a one-side test constructed as sign(g(\hat{\alpha}) - 1) * LR^{1/2}, where g(\hat{\alpha}) is the product of the periodic differencing filter parameters estimated under the alternative.
summary:
Displays the same output as show but a summary of the null and the alternative hypotheses is also displayed.

Author(s)

Javier Lopez-de-Lacalle javlacalle@yahoo.es.

References

P.H. Franses: Periodicity and Stochastic Trends in Economic Time Series (Oxford University Press, 1996).

See Also

LRurpar.test.


[Package partsm version 1.0-2 Index]