| seasdum {seastests} | R Documentation |
F-Test on seasonal dummies
Description
Test for seasonality in a time series based on joint significance seasonal dummies in a non-seasonal ARIMA model.
Usage
seasdum(x, freq = NA, autoarima = FALSE)
Arguments
x |
time series |
freq |
Frequency of the time series |
autoarima |
Use automatic instead of a (0,1,1) ARIMA model? |
Details
A RegARIMA model is estimated with (0,1,1)+Seasonal dummies if autoarima=FALSE (default) or (p,d,q)+Seasonal dummies if autoarima=TRUE, (p,d,q) selected by Hyndman-Khandakar algorithm with max(p)=max(q) <= 3. Then the tests checks whether the seasonal dummies are jointly different from zero, i.e. whether deterministic seasonality can be detected in the time series.
Author(s)
Daniel Ollech
References
Hyndman, R. J. and Y. Khandakar (2008). Automatic Time Series Forecasting: The forecast Package for R. Journal of Statistical Software 27 (3), 1-22.
Maravall, A. (2011). Seasonality Tests and Automatic Model Identification in TRAMO-SEATS. Bank of Spain.
Ollech, D. and Webel, K. (2020). A random forest-based approach to identifying the most informative seasonality tests. Deutsche Bundesbank's Discussion Paper series 55/2020.
Examples
seasdum(ts(rnorm(120, 10,10), frequency=12))
seasdum(ts(rnorm(70, 10,10), frequency=7))