F.test

Compute the F-test statistic for nonlinearity

Simulation, estimation, prediction procedure, and model identification methods for nonlinear time series analysis, including threshold autoregressive models, Markov-switching models, convolutional functional autoregressive models, nonlinearity tests, Kalman filters and various sequential Monte Carlo methods. More examples and details about this package can be found in the book "Nonlinear Time Series Analysis" by Ruey S. Tsay and Rong Chen, John Wiley & Sons, 2018 (ISBN: 978-1-119-26407-1).

Xialu Liu

Nonlinear Time Series Analysis

Ruey Tsay

Rong Chen

F.test function

<dl><dt>x</dt>
<dd>time series.</dd>
<dt>order</dt>
<dd>AR order.</dd>
<dt>thres</dt>
<dd>threshold value.</dd></dl>

Arguments

F Test for Nonlinearity — F.test

<dl>

<dt>x</dt>
<dd>time series.</dd>


<dt>order</dt>
<dd>AR order.</dd>


<dt>thres</dt>
<dd>threshold value.</dd>

</dl>

F.test: F Test for Nonlinearity

Description

Usage

Value

Arguments

Examples