| Fnextp.test {partsm} | R Documentation |
Test for the significance of prospective autoregressive parameters of order p+1 in an AR(p) or PAR(p) model. It is performed as an F-statistic that sets the parameters of order p+1 equal to zero.
Fnextp.test (wts, detcomp, p, type)
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. |
type |
a character string indicating whether the model to fit is an autoregressive model,
"AR", or a periodic autoregressive model, "PAR". |
An object of class Ftest.partsm-class containing the F-test statistic, the freedom
degrees an the corresponding p-value.
Javier López-de-Lacalle javlacalle@yahoo.es.
P.H. Franses: Periodicity and Stochastic Trends in Economic Time Series (Oxford University Press, 1996).
fit.ar.par, and Ftest.partsm-class.
## Test the significance of a second order lag in a PAR model for the Real GNP in Germany.
## Including seasonal intercepts.
data("gergnp")
lgergnp <- log(gergnp, base=exp(1))
detcomp <- list(regular=c(0,0,0), seasonal=c(1,0), regvar=0)
out <- Fnextp.test(wts=lgergnp, detcomp=detcomp, p=1, type="PAR")