signbias_test function

Sign Bias Test

The sign bias test of Engle and Ng (1993).

signbias_test(x, sigma = 1, ...)

Arguments

• x: a series representing the residuals of some estimated model.
• sigma: either a scalar representing the residuals standard deviation else a vector of the same length as x representing the conditional standard deviation of the residuals.
• ...: additional arguments passed to linearHypothesis, except the test which is fixed to use the Chisq test.

Returns

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

Examples

library(tsgarch)
library(tsdistributions)
library(xts)
data("spy")
spyr <- na.omit(diff(log(spy)))
spec <- garch_modelspec(spyr, model = "garch", order = c(1,1),
constant = TRUE, distribution = "jsu")
mod <- estimate(spec)
print(signbias_test(residuals(mod), sigma(mod)))

References

\insertRef Engleng1993tstests