F.test {NTS}

F Test for Nonlinearity

Description

Compute the F-test statistic for nonlinearity

Usage

F.test(x, order, thres = 0)

Arguments

x

time series.

order

AR order.

thres

threshold value.

Value

The function outputs the test statistic and its p-value, and return a list with components:

test.stat

test statistic.

p.value

p-value.

order

AR order.

Examples

y=rnorm(100)
F.test(y,2,0)