ch.rs.pvalue {uroot} | R Documentation |
P-values for the CH test statistic
Description
Compute p-values for the Canova and Hansen (CH) test statistic based on the response surface regressions approach.
Usage
ch.rs.pvalue(x, type, lag1, S, n, nobsreg, VMdf)
Arguments
x |
a numeric. The value of the CH statistic. |
type |
a string specifying the formulation of the test,
|
lag1 |
logical indicating whether a first order lag of was included in the regression model. |
S |
numeric, the periodicity of the data. |
n |
numeric, the number of observations. |
nobsreg |
an integer indicating the number of points employed in the response surface regression. |
VMdf |
numeric, the degrees of freedom of the Von Mises distribution. |
Details
Ported from Gretl code provided by Díaz-Emparanza and Moral (2013).
For type="dummy"
,
the p-value for the joint test statistic is not available.
This function is mainly intended to be used internally by ch.test
.
Value
A numeric giving the calculated p-value.
References
Díaz-Emparanza, I. and Moral, M. P. (2013) Seasonal Stability Tests in gretl. An Application to International Tourism Data. Working paper: Biltoki D.T. 2013.03. URL: https://addi.ehu.es/handle/10810/10577. Gretl code: https://www.ehu.eus/ignacio.diaz-emparanza/packages/Canova_Hansen.gfn (seems unavailable, so not linked)