CH.test {uroot}R Documentation

Canova-Hansen test

Description

This function computes the Canova-Hansen statistic for testing the null hypothesis of stationary seasonal cycles against the alternative of a unit root at either a single or a set of seasonal frequencies.

Usage

      CH.test (label, frec, f0, DetTr, showcat)
   

Arguments

label a list object with information about the series. The list consist of the following elements. vari, a ts object with the data of the series, s, the periodicity of the series (4, 12, or 1 for quarterly, monthly, or anual data), t0, a vector of two elements indicating the year and season of the first observation, N, number of observations.
frec a vector indicating the frequencies to analyse.
f0 a 0-1 (No-Yes) vector of length one indicating wether a lag of the dependent variable is included or not in the auxiliar regression.
DetTr a logical argument. If TRUE a linear trend is included in the auxiliar regression.
showcat how the results are showed and stored. If TRUE a brief explanation reports the results. If FALSE a list object stores the results.

Value

CH test statistic.

Author(s)

Javier López-de-Lacalle javlacalle@yahoo.es and Ignacio Díaz-Emparanza etpdihei@bs.ehu.es

References

F. Canova and B.E. Hansen (1995), Are seasonal patterns constant over time? A test for seasonal stability. Journal of Business and Economic Statistics, 13, 237-252.

See Also

CHseas.test.

Examples

     ## Analyse frequency pi, including a first order lag and but not a linear trend.
     data(AirPassengers)
     AirP <- list(vari=AirPassengers, s=12, t0=c(1949, 1), N=length(AirPassengers))
     CH.test(label=AirP, frec=c(0,0,0,0,0,1), f0=1, DetTr=FALSE, showcat=TRUE)
   

[Package uroot version 1.2 Index]