Tsay's Test for nonlinearity
Carry out Tsay's test for quadratic nonlinearity in a time series.
Tsay.test(x, order, ...)
x |
time series |
order |
working linear AR order; if missing, it will be estimated via the ar function by minimizing AIC |
... |
options to be passed to the ar function |
The null hypothesis is that the true model is an AR process. The AR order, if missing, is estimated by minimizing AIC via the ar function, i.e. fitting autoregressive model to the data. The default fitting method of the ar function is "yule-walker."
A list containing the following components
test.stat |
The observed test statistic |
p.value |
p-value of the test |
order |
working AR order |
Kung-Sik Chan
Tsay, R. S. (1986), Nonlinearity test for time series, Biometrika, 73, 461-466.
data(spots) Tsay.test(sqrt(spots))
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