LRur.partsm-class function

LRur.partsm Class

LRur.partsm Class

This class contains the information provided by LRurpar.test. class

Slots

  • test.label:: Object of class "character": A label to identify the test.

  • test.name:: Object of class "character": A one-line description 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(α^)1)LR1/2sign(g(\hat{\alpha}) - 1) * LR^{1/2}, where g(α^)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.

References

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

See Also

LRurpar.test.

Author(s)

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