Tsay's test: test for nonlinearity against the null hypothesis that the time
series follows some AR process. This is a generalization of Keenan's test.
Usage
tsayTest(time.series, order)
Value
A list containing the results of the test, including:
test.stat: the F-squared test statistic
p.value.
order: order of the AR process used for testing.
Arguments
time.series
The original time.series.
order
Order used for the AR model.
References
Tsay, R. S. (1986), Nonlinearity test for time series, Biometrika,
73, 461-466.