The test statistic is a standard Z-score: the difference between the two sample means divided by its estimated standard error. The standard error is estimated from the spectral density at zero and so takes into account any autocorrelation.
The Z-score is calculated under the assumption that the two parts of
the chain are asymptotically independent, which requires that the sum
of frac1
and frac2
be strictly less than 1.
geweke.diag(x, frac1=0.1, frac2=0.5)
geweke.plot
.