Fsh.test {partsm}

Test for Seasonal Heteroskedasticity

Description

Test for seasonal heteroskedasticity.

Usage

    Fsh.test (res, s)
  

Arguments

res

a vector containing the data to be tested.

s

the periodicity of the data.

Details

On the basis of the following model,

x_t^2 = \omega_0 + \omega_1 D_{1,t} + ... + \omega_{S-1} D_{S-1,t} + \epsilon_t,

where S is the periodicity of the data, the null hypothesis of

the null-hypothesis \omega_{i}=0, for i=1,...,S-1 is tested.

The F-statistic follows an F((S-1), n-k) distribution, where n is the number of observations and k the number of parameters.

Value

An object of class Ftest.partsm-class containing the F-test statistic, the freedom degrees an the corresponding p-value.

Author(s)

Javier Lopez-de-Lacalle [e-mail].

See Also

Ftest.partsm-class.

Examples

    ## Fsh test for the residuals of the first differences
    ## of the logarithms of the Real GNP in Germany
    ## on an AR(4) model with seasonal intercepts.
    data("gergnp")
    lgergnp <- log(gergnp, base=exp(1))
    wts <- ts(c(NA, diff(gergnp, lag=1)), frequency=4, start=start(lgergnp))

    detcomp=list(regular=c(0,0,0), seasonal=c(1,0), regvar=0)
    ar4 <- fit.ar.par(wts=lgergnp, type="AR", p=4, detcomp=detcomp)
    out <- Fsh.test(res=residuals([e-mail]), s=frequency(wts))