Canova-Hansen seasonality test

Usage

seasonality_canovahansen(
  data,
  period,
  trigs = TRUE,
  lag1 = TRUE,
  kernel = c("Bartlett", "Square", "Welch", "Tukey", "Hamming", "Parzen"),
  order = NA,
  start = 1
)

Arguments

data: the input data.
period: Tested periodicity.
trigs: TRUE for trigonometric variables, FALSE for seasonal dummies.
lag1: Lagged variable in the regression model.
kernel: Kernel used to compute the robust covariance matrix.
order: The truncation parameter used to compute the robust covariance matrix.
start: Position of the first observation of the series

Examples

s<-log(ABS$X0.2.20.10.M)
seasonality_canovahansen(s, 12, trigs = FALSE)
#> $joint
#> [1] 2.819745
#> 
#> $details
#>  [1] 0.07446018 0.75745919 0.96685307 0.04129703 0.04553915 0.04930566
#>  [7] 0.02527858 0.25054874 1.57466566 1.87977816 1.17558395 0.32645137
#> 
seasonality_canovahansen(s, 12, trigs = TRUE)
#> $joint
#> [1] 2.775692
#> 
#> $details
#> [1] 0.5923512 1.8096344 1.4492822 0.9050069 2.0166651 0.9540823
#>