Mc.Leod.Li {NonlinearTSA}

Mc.Leod.Li nonlinearity test

Description

This function allows you to make Mc.Leod.Li nonlinearity test

Usage

Mc.Leod.Li(y, lag)

Arguments

y

series name,

lag

lag parameter,

Value

"lag stat pvalue" the lag order, the value of the test statistic and the probability of test statistic, respectively.

References

Burak Guris, R Uygulamalı Dogrusal Olmayan Zaman Serileri Analizi, DER Yayinevi, 2020.

Examples

x <- rnorm(1000)
Mc.Leod.Li(x, 10)


data(IBM)
Mc.Leod.Li(IBM,4)