keenanTest {nonlinearTseries}

Keenan's test

Description

Keenan's test: test for nonlinearity against the null hypothesis that the time series follows some AR process.

Usage

keenanTest(time.series, ...)

Arguments

time.series

The original time.series.

...

Additional arguments for the ar function.

Value

A list containing the results of the test, including:

• test.stat: the F-squared test statistic

• df1 and df2: the degrees of freedom of the test statistic.

• p.value.

• order: order of the AR process used for testing.

References

Keenan, D. M. (1985), A Tukey nonadditivity-type test for time series Nonlinearity, Biometrika, 72, 39-44.

See Also

nonlinearityTest, tsayTest, mcleodLiTest,thresholdTest