PRnd

Compute the ND test statistic of Pena and Rodriguez (2006, JSPI).

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

PRnd function

<dl><dt>x</dt>
<dd>time series.</dd>
<dt>m</dt>
<dd>the maximum number of lag of correlation to test.</dd>
<dt>p</dt>
<dd>AR order.</dd>
<dt>q</dt>
<dd>MA order.</dd></dl>

Arguments

ND Test — PRnd

<dl>

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


<dt>m</dt>
<dd>the maximum number of lag of correlation to test.</dd>


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


<dt>q</dt>
<dd>MA order.</dd>

</dl>

PRnd: ND Test

Description

Usage

Value

Arguments

References

Examples