nyblom_test function

Nyblom-Hansen Parameter Constancy Test

The parameter constancy test of Nyblom (1989).

nyblom_test(
  x,
  scores = NULL,
  parameter_names = colnames(scores),
  parameter_symbols = NULL,
  ...
)

Arguments

• x: a series representing the standardized residuals of some estimated model.
• scores: the log likelihood score matrix. The estfun method if exported by a package for a model will return this matrix.
• parameter_names: optional character vector of the parameter names. Usually read off the column names of the score matrix.
• parameter_symbols: an optional character vector of the latex names of the parameters which can be used when printing using the flextable format.
• ...: not currently used.

Returns

An object of class tstest.nyblom which has a print and as_flextable method.

Details

The p-values for the test statistic are based on a pre-computed density, by simulation using equation 3.3 of Nyblom (1989), with up to 40 parameters and saved as an internal data object within the package. A kernel density is used to fit the 10,000 samples of the distribution before extracting the p-values. The original simulation generated more than 100,000 data points but these were compressed to quantiles at intervals of 0.001 in order to keep the package size under 5MB.

Examples

library(tsgarch)
library(xts)
data("spy")
spyr <- na.omit(diff(log(spy)))
spec <- garch_modelspec(spyr[1:1200], model = "garch", order = c(1,1),
constant = TRUE, distribution = "norm")
mod <- estimate(spec)
test <- nyblom_test(residuals(mod, standardize = TRUE), scores = estfun(mod),
parameter_names = names(coef(mod)),
parameter_symbols = mod$parmatrix[estimate == 1]$symbol)
print(test)

References

\insertRef Nyblom1989tstests