Fsh.test {partsm} | R Documentation |
Test for seasonal heteroskedasticity.
Fsh.test (res, s)
res |
a vector containing the data to be tested. |
s |
the periodicity of the data. |
On the basis of the following model,
x_t^2 = \omega_0 + \omega_1 D_{1,t} + ... + \omega_{S-1} D_{S-1,t} + \epsilon_t,
where S
is the periodicity of the data, the null hypothesis of
the null-hypothesis \omega_{i}=0, for i=1,...,S-1 is tested.
The F-statistic follows an F((S-1), n-k) distribution, where n
is the number of observations and
k
the number of parameters.
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.
## Fsh test for the residuals of the first differences ## of the logarithms of the Real GNP in Germany ## on an AR(4) model with seasonal intercepts. data("gergnp") lgergnp <- log(gergnp, base=exp(1)) wts <- ts(c(NA, diff(gergnp, lag=1)), frequency=4, start=start(lgergnp)) detcomp=list(regular=c(0,0,0), seasonal=c(1,0), regvar=0) ar4 <- fit.ar.par(wts=lgergnp, type="AR", p=4, detcomp=detcomp) out <- Fsh.test(res=residuals(ar4@lm.ar), s=frequency(wts))