Canova-Hansen seasonality test

Usage

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

Arguments

data: the input data.
period: Tested periodicity. Can be missing if the input is a time series
type: Trigonometric variables, seasonal dummies or seasonal contrasts.
lag1: Lagged variable in the regression model.
kernel: Kernel used to compute the robust Newey-West covariance matrix.
order: The truncation parameter used to compute the robust Newey-West covariance matrix.
start: Position of the first observation of the series

Value

list with the FTest on seasonal variables, the joint test and the details for the stability of the different seasonal variables

Examples

s <- log(ABS$X0.2.20.10.M)
seasonality_canovahansen(s, 12, type = "Contrast")
#> $seasonality
#> $seasonality$value
#> [1] 792.4501
#> 
#> $seasonality$pvalue
#> [1] 8.183367e-269
#> 
#> 
#> $joint
#> [1] 2.775692
#> 
#> $details
#>  [1] 0.19827842 0.79054669 0.67577086 0.13224572 0.09191475 0.12770741
#>  [7] 0.11695464 0.68944569 1.66909605 1.33869879 1.22087073 1.97065542
#> 
seasonality_canovahansen(s, 12, type = "Trigonometric")
#> $seasonality
#> $seasonality$value
#> [1] 792.4501
#> 
#> $seasonality$pvalue
#> [1] 8.183367e-269
#> 
#> 
#> $joint
#> [1] 2.775692
#> 
#> $details
#> [1] 0.5923512 1.8096344 1.4492822 0.9050069 2.0166651 0.9540823
#>