add.test: The Lagrange multiplier test for additivity in a timeseries
Description
add.test is a function to test the permissibility of the
additive autoregressive model:
N(t) = f1(N(t-1)) + f2(N(t-2)) + ... + fd(N(t-d)) + e(t )
against the alternative:
N(t) = F(N(t-1), N(t-2), ..., N(t-d)) + e(t)
Usage
add.test(x, order, n.cond = FALSE)
Arguments
Value
a vector is returned consisting of the asymtpotic
chi-square value, the associated d.f.
and asymptotic p.val for the test of additivity.
Details
This is the Lagrange multiplier test for additivity
developed by Chen et al. (1995: test II).
The function requires the acepack-library.
References
Chen, R., Liu, J.S. & Tsay, R.S. (1995) Additivity tests
for nonlinear autoregression. Biometrika, 82, 369-383.
Bjornstad, O.N., Begon, M., Stenseth, N.C., Falck, W.,
Sait, S.M., & Thompson, D.J. (1998) Population dynamics
of the Indian meal moth: demographic stochasticity and
delayed regulatory mechanisms. Journal of Animal
Ecology, 67, 110-126.