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Canova-Hansen test using trigonometric variables

Source: R/tests_seasonality.R
seasonality_canovahansen_trigs.Rd

Canova-Hansen test using trigonometric variables

Usage

seasonality_canovahansen_trigs(
  data,
  periods,
  lag1 = TRUE,
  kernel = c("Bartlett", "Square", "Welch", "Tukey", "Hamming", "Parzen"),
  order = NA,
  original = FALSE
)

Arguments

data

the input data.

periods

Periodicities.

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.

original

TRUE for original algorithm, FALSE for solution proposed by T. Proietti (based on Ox code).

Examples

s <- log(ABS$X0.2.20.10.M)
freqs <- seq(0.01, 0.5, 0.001)
plot(seasonality_canovahansen_trigs(s, 1 / freqs, original = FALSE), type = "l")