Fsh.test: Test for Seasonal Heteroskedasticity

Description

Test for seasonal heteroskedasticity.

Usage

Fsh.test (res, s)

Arguments

res

a vector containing the data to be tested.

the periodicity of the data.

Value

An object of class Ftest.partsm-class containing the $F$-test statistic, the freedom degrees an the corresponding $p$-value.

Details

On the basis of the following model,

$$x_t^2 = \omega_0 + \omega_1 D_{1,t} + ... + \omega_{S-1} D_{S-1,t} + \epsilon_t,$$

where S is the periodicity of the data, the null hypothesis of

the null-hypothesis $\omega_{i}=0$, for $i=1,...,S-1$ is tested.

The F-statistic follows an F((S-1), n-k) distribution, where n is the number of observations and k the number of parameters.

Examples

Run this code

## Fsh test for the residuals of the first differences
    ## of the logarithms of the Real GNP in Germany
    ## on an AR(4) model with seasonal intercepts.
    data("gergnp")
    lgergnp <- log(gergnp, base=exp(1))
    wts <- ts(c(NA, diff(gergnp, lag=1)), frequency=4, start=start(lgergnp))

    detcomp=list(regular=c(0,0,0), seasonal=c(1,0), regvar=0)
    ar4 <- fit.ar.par(wts=lgergnp, type="AR", p=4, detcomp=detcomp)
    out <- Fsh.test(res=residuals(ar4@lm.ar), s=frequency(wts))