Computes the likelihood ratio test for threshold nonlinearity with H0 being an AR process and H1 a TAR model.
thresholdTest(
time.series,
p,
d = 1,
lower.percent = 0.25,
upper.percent = 0.75
)A list containing
p.value: p-value of the test
test.statistic: Likelihood ratio test statistic.
percentiles: Since the search for the threshold parameter may occur in a narrower interval than the one specified by the user, the effective lower and upper percents are returned here.
The original time.series.
The order of the AR process.
Delay used for the threshold value in the TAR process.
The threshold value is searched over an interval defined by lower.percent and upper.percent of the time series values. This defines the lower percent.
The threshold value is searched over an interval defined by lower.percent and upper.percent of the time series values. This defines the upper percent.
Kung-Sik Chan
Chan, K.S. (1990). Percentage points of likelihood ratio tests for threshold autoregression. Journal of Royal Statistical Society, B 53, 3, 691-696.
nonlinearityTest, keenanTest,
tsayTest, mcleodLiTest