Keenan.test: Keenan's one-degree test for nonlinearity
Description
Carry out Keenan's 1-degree test for nonlinearity against the null
hypothesis that the time series follows some AR process.
Usage
Keenan.test(x, order, ...)
Arguments
x
time series
order
working AR order; if missing, it is estimated by minimizing
AIC via the ar function.
...
user-supplied options to the ar function.
Value
A list containing the following components
test.statThe observed test statistic
p.valuep-value of the test
orderworking AR order
Details
The test is designed to have optimal local power against depature
from the linear autoregressive function in the direction of the square of
the linear autoregressive function.
References
Keenan, D. M. (1985), A Tukey nonadditivity-type test for time series Nonlinearity, Biometrika, 72, 39-44.