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Canova-Hansen test for stable trading days

Usage

td_canovahansen(
  s,
  differencing,
  kernel = c("Bartlett", "Square", "Welch", "Tukey", "Hamming", "Parzen"),
  order = NA
)

Arguments

s

a ts object that corresponds to the input time series to test.

differencing

Differencing lags.

kernel

Kernel used to compute the robust covariance matrix.

order

The truncation parameter used to compute the robust covariance matrix.

Value

list with the ftest on td, the joint test and the details for the stability of the different days (starting with Mondays).

Examples

s <- log(ABS$X0.2.20.10.M)
td_canovahansen(s, c(1, 12))
#> $td
#> $td$value
#> [1] 21.31204
#> 
#> $td$pvalue
#> [1] 9.130842e-22
#> 
#> 
#> $joint
#> [1] 2.522328
#> 
#> $details
#> [1] 0.9437191 1.5160559 1.8346550 1.8401795 1.1661557 0.9028408 1.7277995
#>