uroot (version 2.0-5)

ch.rs.pvalue: P-values for the CH test statistic

Description

Compute p-values for the Canova and Hansen (CH) test statistic based on the response surface regressions approach.

Usage

ch.rs.pvalue(x, type, lag1, S, n, nobsreg, VMdf)

Arguments

x

a numeric. The value of the CH statistic.

type

a string specifying the formulation of the test, "dummy" for seasonal dummies or "trigonometric" for seasonal cycles.

lag1

logical indicating whether a first order lag of was included in the regression model.

S

numeric, the periodicity of the data.

n

numeric, the number of observations.

nobsreg

an integer indicating the number of points employed in the response surface regression.

VMdf

numeric, the degrees of freedom of the Von Mises distribution.

Value

A numeric giving the calculated p-value.

Details

Ported from Gretl code provided by Díaz-Emparanza and Moral (2013).

For type="dummy", the p-value for the joint test statistic is not available.

This function is mainly intended to be used internally by ch.test.

References

Díaz-Emparanza, I. and Moral, M. P. (2013) Seasonal Stability Tests in gretl. An Application to International Tourism Data. Working paper: Biltoki D.T. 2013.03. URL: https://addi.ehu.es/handle/10810/10577. Gretl code: http://www.ehu.eus/ignacio.diaz-emparanza/packages/Canova_Hansen.gfn.

See Also

ch.test.