nlts (version 1.0-2)

lin.test: A Tukey one-degree-of-freedom test for linearity in time series.

Description

a function to test the permissibility of the linear autoregressive model:

Usage

lin.test(x, order)

Arguments

x

A time series (vector without missing values).

order

a scalar representing the order to be considered.

Value

A vector is returned consisting of the asymtpotic F-value, the associated numerator and denominator d.f.'s and asymptotic p.val for the test of linearity

Details

N(t) = a0 + a1N(t-1) + a2N(t-2) + ... + adN(t-d) + e(t )

against the alternative:

Nt = F(N(t-1), N(t-2), ..., N(t-d)) + e(t)

This is the Tukey one-degree-of-freedom test of linearity developed by Tsay (1986). Orders up to 5 is permissible. [although the code is easily extended].

References

Tsay, R.S. (1986) Nonlinearity tests for time series. Biometrika, 73, 461-466. https://doi.org/10.1093/biomet/73.2.461

Examples

# NOT RUN {
   data(plodia)
   lin.test(sqrt(plodia), order = 3)
# }