Canova-Hansen test using trigonometric variables — seasonality_canovahansen_trigs • rjd3toolkit

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.
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')