Modified QS Seasonality Test (Maravall)

Modified QS Seasonality Test (Maravall)

Usage

seasonality_modified_qs(data, period = NA, nyears = 0)

Arguments

data

the input data.

period

Tested periodicity. Can be missing if the input is a time series

nyears

Number of periods or number of cycles considered in the test, at the end of the series: in periods (positive value) or years (negative values). By default (nyears = 0), the entire sample is used.

Value

The value of the test

Details

Thresholds for p-values: p.9=2.49, p.95=3.83, p.99=7.06, p.999=11.88. Computed on 100.000.000 random series (different lengths). Remark: the length of the series has some impact on the p-values, mainly on short series. Not critical.

Examples

s <- do_stationary(log(ABS$X0.2.09.10.M))$ddata
seasonality_modified_qs(s)
#> [1] 747.7281