A Tukey one-degree-of-freedom test for linearity in time series.

Description

a function to test the permissibility of the linear autoregressive model:

N(t) = a0 + a1N(t-1) + a2N(t-2) + ... + adN(t-d) + e(t )

against the alternative:

Nt = F(N(t-1), N(t-2), ..., N(t-d)) + e(t)

Usage

    lin.test(x, order)
    

Arguments

Details

This is the Tukey one-degree-of-freedom test of linearity developed by Tsay (1986). Orders up to 5 is permissible. [although the code is easily extended].

Value

A vector is returned consisting of the asymtpotic F-value, the associated numerator and denominator d.f.'s and asymptotic p.val for the test of linearity

Author(s)

Ottar N. Bjornstad onb1@psu.edu

References

Tsay, R.S. (1986) Nonlinearity tests for time series. Biometrika, 73, 461-466.

See Also

plot.contingency.periodogram

Examples

   data(plodia)
   lin.test(sqrt(plodia), order = 3)

Results