testSTACD {ACDm}R Documentation

LM test against Smooth Transition ACD models (Meitz and Terasvirta, 2006)

Description

Tests if the alpha parameters and the constant should be varying with the value of the lagged durations, according to a logistic transition function.

Usage

testSTACD(fitModel, K = 2, robust = TRUE)

Arguments

fitModel

a fitted ACD model, i.e. an object of class "acdFit".

K

the order of the logistic transition function used for the alternative hypothesis.

robust

if TRUE the LM statistic will be calculated using the "robust" version, making its asymptotic behavior unaffected by possible misspecification of the error term distribution (Meitz and Terasvirta, 2006).

Value

a list of:

chi2

the value of the LM statistic.

pv

the pvalue of the test statistic.

See Also

testRmACD, testTVACD.

Examples

fitModel3000obs <- acdFit(adjDurData[1:3000,])
testSTACD(fitModel3000obs, K = 2, robust = TRUE)


[Package ACDm version 1.0.4 Index]