Tsay {NTS}

Tsay Test for Nonlinearity

Description

Perform Tsay (1986) nonlinearity test.

Usage

Tsay(y, p = 1)

Arguments

y

time series.

p

AR order.

Value

The function outputs the F statistic, p value, and the degrees of freedom. The null hypothesis is there is no nonlinearity.

References

Tsay, R. (1986) Nonlinearity tests for time series. Biometrika 73(2), 461-466.

Examples

phi=t(matrix(c(-0.3, 0.5,0.6,-0.3),2,2))
y=uTAR.sim(nob=2000, arorder=c(2,2), phi=phi, d=2, thr=0.2, cnst=c(1,-1),sigma=c(1, 1))
Tsay(y$series,2)