LRur.partsm-class

This class contains the information provided by <code><a rd-options="" href="/link/LRurpar.test?package=partsm&version=1.1-2" data-mini-rdoc="partsm::LRurpar.test">LRurpar.test</a></code>.

classes

LRur.partsm

This package performs basic functions to fit and predict periodic autoregressive time series models. These models are discussed in the book P.H. Franses (1996) "Periodicity and Stochastic Trends in Economic Time Series", Oxford University Press. Data set analyzed in that book is also provided. NOTE: the package was orphaned during several years. It is now only maintained, but no major enhancement are expected, and the maintainer cannot provide any support.

Matthieu Stigler

partsm

Periodic Autoregressive Time Series Models

LRur.partsm function

<dl class="dl-horizontal">
 <dt><code>test.label</code>:</dt><dd>Object of class <code>"character"</code>: A label to identify the test.</dd>
 <dt><code>test.name</code>:</dt><dd>Object of class <code>"character"</code>: A one-line descriptio of the test.</dd>
 <dt><code>p</code>:</dt><dd>Object of class <code>"numeric"</code>: The lag order parameter of the model.</dd>
 <dt><code>LR</code>:</dt><dd>Object of class <code>"numeric"</code>: The LR statistic.</dd>
 <dt><code>LRtau</code>:</dt><dd>Object of class <code>"numeric"</code>: The one side test statistic.</dd>
 <dt><code>h0nls</code>:</dt><dd>Object of class <code>"matrix"</code>: The estimated coefficients of the non-linear PIAR
 model.</dd>
 <dt><code>halm</code>:</dt><dd>Object of class <code>"lm"</code>: The estimated PAR model for the alternative
 hypotheses.</dd>
 </dl>

Slots

<dl class="dl-horizontal">
 <dt><code>show</code>:</dt><dd>Shows the LR statistics and a one-side test constructed as
 \(sign(g(\hat{\alpha}) - 1) * LR^{1/2}\), where \(g(\hat{\alpha})\) is the product of the periodic
 differencing filter parameters estimated under the alternative.</dd>
 <dt><code>summary</code>:</dt><dd>Displays the same output as <code>show</code> but a summary of the null and the
 alternative hypotheses is also displayed.</dd>
 </dl>

Methods

This class contains the information provided by <code><a rd-options='' href='LRurpar.test'>LRurpar.test</a></code>.

LRur.partsm Class — LRur.partsm

<dl class='dl-horizontal'>
 <dt><code>test.label</code>:</dt><dd>Object of class <code>"character"</code>: A label to identify the test.</dd>
 <dt><code>test.name</code>:</dt><dd>Object of class <code>"character"</code>: A one-line descriptio of the test.</dd>
 <dt><code>p</code>:</dt><dd>Object of class <code>"numeric"</code>: The lag order parameter of the model.</dd>
 <dt><code>LR</code>:</dt><dd>Object of class <code>"numeric"</code>: The LR statistic.</dd>
 <dt><code>LRtau</code>:</dt><dd>Object of class <code>"numeric"</code>: The one side test statistic.</dd>
 <dt><code>h0nls</code>:</dt><dd>Object of class <code>"matrix"</code>: The estimated coefficients of the non-linear PIAR
 model.</dd>
 <dt><code>halm</code>:</dt><dd>Object of class <code>"lm"</code>: The estimated PAR model for the alternative
 hypotheses.</dd>
 </dl>

<dl class='dl-horizontal'>
 <dt><code>show</code>:</dt><dd>Shows the LR statistics and a one-side test constructed as
 \(sign(g(\hat{\alpha}) - 1) * LR^{1/2}\), where \(g(\hat{\alpha})\) is the product of the periodic
 differencing filter parameters estimated under the alternative.</dd>
 <dt><code>summary</code>:</dt><dd>Displays the same output as <code>show</code> but a summary of the null and the
 alternative hypotheses is also displayed.</dd>
 </dl>

LRur.partsm: LRur.partsm Class

Description

Arguments

Slots

Methods

References

See Also