Fpar.test {partsm} | R Documentation |
Test for periodic variation in the autoregressive parameters.
Fpar.test (wts, detcomp, p)
wts |
a univariate time series object. |
detcomp |
a vector indicating the deterministic components included in the auxiliar regression. See
the corresponding item in fit.ar.par . |
p |
the order of the initial AR or PAR model. |
An F-test based on the residual sum of squares is performed to test for periodic variation in the autoregressive parameters.
On the basis of the following model,
y_t = \phi_{1s} y_{t-1} + ... + \phi_{ps} y_{t-p} + \epsilon_t,
for s=1,...,S, where S
is the periodicity of the time series,
the null-hypothesis is non-periodicity: \phi_{is}=\phi_i, for s=1,...,S and i=1,2,...,p. When the null hypothesis is imposed an AR(p) is estimated, whereas the alternative is a PAR(p) model.
The F-statistic when four seasonal intercepts are included follows an F((S-1)*p, n-(S+S*p)) distribution, where S
is the periodicity of the series and n
the number of observations.
An object of class Ftest.partsm-class
containing the F-test statistic, the freedom
degrees an the corresponding p-value.
Javier Lopez-de-Lacalle javlacalle@yahoo.es.
fit.ar.par
, and Ftest.partsm-class
.
## Test for periodicity in a second order PAR model for ## the logarithms of the Real GNP in Germany time series. data("gergnp") lgergnp <- log(gergnp, base=exp(1)) detcomp <- list(regular=c(0,0,0), seasonal=c(1,0), regvar=0) out <- Fpar.test(wts=lgergnp, detcomp=detcomp, p=2)